Department of

August 2018 September 2018 October 2018 Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa 1 2 3 4 1 1 2 3 4 5 6 5 6 7 8 9 10 11 2 3 4 5 6 7 8 7 8 9 10 11 12 13 12 13 14 15 16 17 18 9 10 11 12 13 14 15 14 15 16 17 18 19 20 19 20 21 22 23 24 25 16 17 18 19 20 21 22 21 22 23 24 25 26 27 26 27 28 29 30 31 23 24 25 26 27 28 29 28 29 30 31 30

Tuesday, January 16, 2018

**Abstract:** Recently Haezendonck-Goovaerts (H-G) risk measure has been popular in actuarial science. When it is applied to an insurance or a financial portfolio with several loss variables, sensitivity analysis becomes useful in managing the portfolio, and the assumption of independent observations may not be reasonable. This paper first derives an expression for computing the sensitivity of the H-G risk measure, which enables us to estimate the sensitivity nonparametrically via the H-G risk measure. Further, we derive the asymptotic distributions of the nonparametric estimators for the H-G risk measure and the sensitivity by assuming that loss variables in the portfolio follow from a strictly stationary α-mixing sequence. A simulation study is provided to examine the finite sample performance of the proposed nonparametric estimators. Finally, the method is applied to a real data set.

Wednesday, January 17, 2018

Friday, January 19, 2018

Thursday, January 25, 2018

Thursday, February 15, 2018

Thursday, February 22, 2018

Thursday, March 8, 2018

Tuesday, March 27, 2018

Wednesday, March 28, 2018

Thursday, March 29, 2018

Thursday, April 5, 2018

Thursday, April 19, 2018

Thursday, April 26, 2018

Thursday, September 6, 2018

Thursday, September 13, 2018

Thursday, September 20, 2018

Thursday, October 18, 2018

Thursday, October 25, 2018

Tuesday, November 27, 2018

Wednesday, November 28, 2018

Thursday, November 29, 2018