Statistical Inference for a Relative Risk Measure

Yi HeDepartment of Econometrics and Business Statistics, Monash University, Caulfield East, Victoria3145, Australia ([email protected])

Yanxi HouSchool of Mathematics, Georgia Institute of Technology, Atlanta, GA30332-0160 ([email protected])

Liang PengDepartment of Risk Management and Insurance, Georgia State University, Atlanta, GA30303 ([email protected])

Jiliang ShengSchool of Statistics, Jiangxi University of Finance and Economics, Nanchang, Jiangxi330013, PR China ([email protected])

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Yanxi Hou & Xing Wang. (2021) Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement. Journal of the American Statistical Association 116:535, pages 1428-1443.
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Hongfang Sun, Yu Chen & Taizhong Hu. (2022) Statistical inference for tail-based cumulative residual entropy. Insurance: Mathematics and Economics 103, pages 66-95.
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Shiqing Ling & Ke Zhu. (2022) Self-Weighted LSE and Residual-Based QMLE of ARMA-GARCH Models. Journal of Risk and Financial Management 15:2, pages 90.
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