Empirical Estimation of Risk Measures and Related Quantities

Bruce Jones and Ričardas Zitikis

North American Actuarial Journal, 2003, vol. 7, issue 4, 44-54

Abstract: The authors present an alternative representation of risk measures originally defined in terms of expectations with respect to distorted probabilities. They also show that the right-tail, left-tail, and two-sided deviations/indices suggested by Wang (1998) can be represented in this alternative form. Empirical estimators for these quantities are proposed and their properties explored.

Date: 2003
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DOI: 10.1080/10920277.2003.10596117

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