Extreme distorted tail value-at-risk of Secura insurance data
Abstract
This paper addresses the problem of estimating the distorted tail value-at-risk (DTVaR) measure which generalize the TVaR (tail value-at-risk ) using empirical, semi-parametric and parametric approaches and then apply, and then applied them to the Secura insurance data.
Published
2021-11-23
Section
Articles