Interval Estimation of Actuarial Risk Measures

References

• Albrecht , Peter . 2004 . “ Risk Measures ” . In Encyclopedia of Actuarial Science Edited by: Sundt , B. and Teugels , J. 1493 – 1501 . London : John Wiley . vol. 3
   Google Scholar
• American Academy Of Actuaries . 2002 . San Diego, CA Recommended Approach for Setting Regulatory Risk-Based Capital Requirements for Variable Products with Guarantees (Excluding Index Guarantees). Presented by the American Academy of Actuaries Life Capital Adequacy Subcommittee to the National Association of Insurance Commissioners, Life Risk-Based Capital Working Group, December 2002. www.actuary.org/pdf/life/rbc_16dec02.pdf.
   Google Scholar
• Artzner , Philippe . 1999 . Application of Coherent Risk Measures to Capital Requirements in Insurance . North American Actuarial Journal , 3 ( 2 ) : 11 – 29 .
   Google Scholar
• Beirlant , Jan , Teugels , Joseph L. and Vynckier , Petra . 1996 . Practical Analysis of Extreme Values , Leuven : Leuven University Press .
   Google Scholar
• Brazauskas , Vytaras . 2003 . Influence Functions of Empirical Nonparametric Estimators of Net Reinsurance Premiums . Insurance: Mathematics and Economics , 32 ( 1 ) : 115 – 33 .
   Web of Science ®Google Scholar
• Brazauskas , Vytaras and Kaiser , Thomas . 2004 . Discussion: Empirical Estimation of Risk Measures and Related Quantities . North American Actuarial Journal , 8 ( 3 ) : 114 – 17 .
   Google Scholar
• Brazauskas , Vytaras and Serfling , Robert . 2000 . Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution (with discussion) . North American Actuarial Journal , 4 ( 4 ) : 12 – 27 . Discussion: 5(3): 123-26; reply: 5(3): 126-28.
   Google Scholar
• Brazauskas , Vytaras and Serfling , Robert . 2003 . Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-Fit Measures with Actual Data . ASTIN Bulletin , 33 ( 2 ) : 365 – 81 .
   Google Scholar
• Brazauskas , Vytaras , Jones , Bruce L. , Puri , Madan L. and Zitikis , Ricardas . 2006 . Estimating Conditional Tail Expectations with Actuarial Applications in View . Journal of Statistical Planning and Inference , in press
   Web of Science ®Google Scholar
• Canadian Institute Of Actuaries . 2002 . Report of the CIA Task Force on Segregated Fund Investment Guarantees. www.actuaries.ca/publications/2002/202012e.pdf.
   Google Scholar
• Dowd , Kevin . 2004 . “ Value-at-Risk ” . In Encyclopedia of Actuarial Science Edited by: Sundt , B. and Teugels , J. 1740 – 48 . London : Wiley . vol. 3
   Google Scholar
• Efron , Bradley and Tibshirani , Robert J. 1993 . An Introduction to the Bootstrap , New York : Chapman and Hall .
   Google Scholar
• Hardy , Mary R. and Wirch , Julia L. 2004 . The Iterated CTE: A Dynamic Risk Measure . North American Actuarial Journal , 8 ( 4 ) : 62 – 75 .
   Google Scholar
• Jones , Bruce L. and Zitikis , Ricardas . 2003 . Empirical Estimation of Risk Measures and Related Quantities (with discussion) . North American Actuarial Journal , 7 ( 4 ) : 44 – 54 . Discussion: 8(3): 114-17; reply: 8(3): 117-18.
   Google Scholar
• Manistre , John B. and Hancock , Geoffrey H. 2005 . Variance of the CTE Estimator . North American Actuarial Journal , 9 ( 2 ) : 129 – 56 .
   Google Scholar
• Serfling , Robert J. 1980 . Approximation Theorems of Mathematical Statistics , New York : John Wiley .
   Google Scholar
• Serfling , Robert J. 2002 . Efficient and Robust Fitting of Lognormal Distributions . North American Actuarial Journal , 6 ( 4 ) : 95 – 109 .
   Google Scholar
• Wang , Shaun . 1998 . An Actuarial Index of the Right-Tail Risk . North American Actuarial Journal , 2 ( 2 ) : 88 – 101 .
   Google Scholar
• Wang , Shaun . 2000 . A Class of Distortion Operators for Pricing Financial and Insurance Risks . Journal of Risk and Insurance , 67 ( 1 ) : 15 – 36 .
   Web of Science ®Google Scholar
• Wang , Shaun . 2002 . A Universal Framework for Pricing Financial and Insurance Risks . ASTIN Bulletin , 32 ( 2 ) : 213 – 34 .
   Google Scholar
• Wang , Shaun , Young , Virginia and Panjer , Harry . 1997 . Axiomatic Characterization of Insurance Prices . Insurance: Mathematics and Economics , 21 ( 2 ) : 173 – 83 .
   Web of Science ®Google Scholar
• Wirch , Julia and Hardy , Mary . 1999 . A Synthesis of Risk Measures for Capital Adequacy . Insurance: Mathematics and Economics , 25 ( 3 ) : 337 – 47 .
   Web of Science ®Google Scholar