- Afr. Stat.
- Volume 7, Number 1 (2012), 441-458.
Bias-reduced estimation of Wang's two-sided deviation risk measure under Lévy-stable regime
Several risk measures, such as the distorted insurance premium and the two-sided deviation (TSD) measure, can be regarded as L-functionals with specific weight functions. In this paper, we focus on the TSD risk measure as we define a new estimator by using the bias-reduced estimators of extreme quantiles proposed by Li et al. 2010. A simulation study is carried out to compare, in terms of bias and mean squared error, the new estimator with that introduced recently by Necir and Meraghni 2010.
Afr. Stat., Volume 7, Number 1 (2012), 441-458.
First available in Project Euclid: 1 February 2013
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Brahimi, Brahim; Meraghni, Djamel; Necir, Abdelhakim; Touba, Sonia. Bias-reduced estimation of Wang's two-sided deviation risk measure under Lévy-stable regime. Afr. Stat. 7 (2012), no. 1, 441--458. https://projecteuclid.org/euclid.as/1359744268