Bias-reduced estimation of Wang's two-sided deviation risk measure under Levy-stable regime

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DC Field	Value	Language
dc.contributor.author	Brahim Brahimi	-
dc.contributor.author	Djamel Meraghni	-
dc.contributor.author	Abdelhakim Necir	-
dc.contributor.author	Sonia Touba	-
dc.date.accessioned	2013-04-11T12:59:18Z	-
dc.date.available	2013-04-11T12:59:18Z	-
dc.date.issued	2013-04-11	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2261	-
dc.description.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 http://www.ajol.info/index.php/afst/article/view/83630	en_US
dc.subject	Bias reduction	en_US
dc.subject	High quantiles	en_US
dc.subject	Hill estimator	en_US
dc.subject	Lévy-stable distribution	en_US
dc.subject	L-statistics	en_US
dc.subject	Order statistics	en_US
dc.subject	Risk Measure	en_US
dc.title	Bias-reduced estimation of Wang's two-sided deviation risk measure under Levy-stable regime	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

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