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Greselin F, Pasquazzi L, Zitikis R. Contrasting the Gini and Zenga indices of economic inequality. J Appl Stat 2013. [DOI: 10.1080/02664763.2012.740627] [Citation(s) in RCA: 12] [Impact Index Per Article: 1.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/27/2022]
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Fakoor V, Ghalibaf MB, Azarnoosh H. Asymptotic behaviors of the Lorenz curve and Gini index in sampling from a length-biased distribution. Stat Probab Lett 2011. [DOI: 10.1016/j.spl.2011.04.013] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/26/2022]
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Ghalibaf MB, Fakoor V, Azarnoosh HA. Asymptotic Behaviors of the Lorenz Curve for Censored Data Under Strong Mixing. COMMUN STAT-THEOR M 2010. [DOI: 10.1080/03610920903391360] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/18/2022]
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Estimating the Conditional Tail Expectation in the Case of Heavy-Tailed Losses. JOURNAL OF PROBABILITY AND STATISTICS 2010. [DOI: 10.1155/2010/596839] [Citation(s) in RCA: 15] [Impact Index Per Article: 1.1] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/17/2022] Open
Abstract
The conditional tail expectation (CTE) is an important actuarial risk measure and a useful tool in financial risk assessment. Under the classical assumption that the second moment of the loss variable is finite, the asymptotic normality of the nonparametric CTE estimator has already been established in the literature. The noted result, however, is not applicable when the loss variable follows any distribution with infinite second moment, which is a frequent situation in practice. With a help of extreme-value methodology, in this paper, we offer a solution to the problem by suggesting a new CTE estimator, which is applicable when losses have finite means but infinite variances.
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Davydov Y, Khoshnevisan D, Shi Z, Zitikis R. Convex rearrangements, generalized Lorenz curves, and correlated Gaussian data. J Stat Plan Inference 2007. [DOI: 10.1016/j.jspi.2006.06.032] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/16/2022]
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