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European Actuarial Journal

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01-12-2015 | Original Research Paper

Empirical likelihood inference for Haezendonck-Goovaerts risk measure

Authors: Liang Peng, Xing Wang, Yanting Zheng

Published in: European Actuarial Journal | Issue 2/2015

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Abstract

Recently Haezendonck-Goovaerts risk measure is receiving much attention in actuarial science with applications in the study of optimal portfolio and optimal reinsurance policy. Nonparametric estimation is proposed by Ahn and Shyamalkumar (Insur Math Econ 55:78–90, 2014), where the derived asymptotic limit can be employed to construct an interval for the Haezendonck-Goovaerts risk measure. In this paper, we propose an alternative empirical likelihood inference for this risk measure. A simulation study shows the good performance of the proposed method.

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Title: Empirical likelihood inference for Haezendonck-Goovaerts risk measure
Authors: Liang Peng
Xing Wang
Yanting Zheng
Publication date: 01-12-2015
Publisher: Springer Berlin Heidelberg
Published in: European Actuarial Journal / Issue 2/2015
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI: https://doi.org/10.1007/s13385-015-0113-8

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