Empirical estimation of risk measures and related quantities

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.
Volume
7
Page
44-54
Number
4
Year
2003
Categories
New Risk Measures
Publications
North American Actuarial Journal
Authors
Jones, B. L.
Zitikis, R.