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|Title:||Bias-reduced estimation of Wang's two-sided deviation risk measure under Levy-stable regime|
|Abstract:||Several risk measures, such as the distorted insurance premium and the two-sided deviation (TSD) measure, can be regarded as L-functionals with specic weight functions. In this paper, we focus on the TSD risk measure as we dene 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). Link http://www.ajol.info/index.php/afst/article/view/83630|
|Appears in Collections:||Publications Internationales|
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