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Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
North American Actuarial Journal Pub Date : 2022-11-30 , DOI: 10.1080/10920277.2022.2137201
Sahadeb Upretee 1 , Vytaras Brazauskas 2
Affiliation  

In insurance data analytics and actuarial practice, distortion risk measures are used to capture the riskiness of the distribution tail. Point and interval estimates of the risk measures are then e...

中文翻译:

计算和估计失真风险度量:如何处理分析上棘手的案例?

在保险数据分析和精算实践中,扭曲风险度量用于捕获分布尾部的风险。然后对风险度量进行点估计和区间估计...
更新日期:2022-11-30
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