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Title: Bias-reduced estimation of Wang's two-sided deviation risk measure under Levy-stable regime
Authors: Brahim Brahimi
Djamel Meraghni
Abdelhakim Necir
Sonia Touba
Keywords: Bias reduction
High quantiles
Hill estimator
Lévy-stable distribution
Order statistics
Risk Measure
Issue Date: 11-Apr-2013
Abstract: Several risk measures, such as the distorted insurance premium and the two-sided deviation (TSD) measure, can be regarded as L-functionals with specic weight functions. In this paper, we focus on the TSD risk measure as we dene a new estimator by using the bias-reduced estimators of extreme quantiles proposed by Li et al. (2010). A simulation study is carried out to compare, in terms of bias and mean squared error, the new estimator with that introduced recently by Necir and Meraghni (2010). Link
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