Related papers: Estimation of Spectral Risk Measure for Left Trunc…
A number of models for generating statistical data in various fields of insurance, including life insurance, pensions, and general insurance have been considered. It is shown that the insurance statistics data, as a rule, are truncated and…
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds…
We consider the problem of estimating a spectral risk measure (SRM) from i.i.d. samples, and propose a novel method that is based on numerical integration. We show that our SRM estimate concentrates exponentially, when the underlying…
Many insurance premium principles are defined and various estimation procedures introduced in the literature. In this paper, we focus on the estimation of the excess-of-loss reinsurance premium when the risks are randomly right-censored.…
Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are…
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involved in addition to quantify the acceptable risk, often in the…
In this paper, we introduce a doubly doubly robust estimator for the average and heterogeneous treatment effect for left-truncated-right-censored (LTRC) survival data. In causal inference for survival functions in LTRC survival data, two…
Prediction performance of a risk scoring system needs to be carefully assessed before its adoption in clinical practice. Clinical preventive care often uses risk scores to screen asymptomatic population. The primary clinical interest is to…
This paper is devoted to robust estimation based on dual divergences estimators for parametric models in the framework of right censored data. We give limit laws of the proposed estimators and examine their asymptotic properties through a…
We present a new estimator of the restricted mean survival time in randomized trials where there is right censoring that may depend on treatment and baseline variables. The proposed estimator leverages prognostic baseline variables to…
Kernel-based nonparametric hazard rate estimation is considered with a special class of infinite-order kernels that achieves favorable bias and mean square error properties. A fully automatic and adaptive implementation of a density and…
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative…
In this article, the analysis of left truncated and right censored competing risks data is carried out, under the assumption of the latent failure times model. It is assumed that there are two competing causes of failures, although most of…
We present a general principle for estimating a regression function nonparametrically, allowing for a wide variety of data filtering, for example, repeated left truncation and right censoring. Both the mean and the median regression cases…
Spectral risk measures (SRMs) belong to the family of coherent risk measures. A natural estimator for the class of SRMs has the form of L-statistics. Various authors have studied and derived the asymptotic properties of the empirical…
Cohort studies of the onset of a disease often encounter left-truncation on the event time of interest in addition to right-censoring due to variable enrollment times of study participants. Analysis of such event time data can be biased if…
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk…
Methods for the evaluation of the predictive accuracy of biomarkers with respect to survival outcomes subject to right censoring have been discussed extensively in the literature. In cancer and other diseases, survival outcomes are commonly…
Analysis of random censored life-time data along with some related stochastic covariables is of great importance in many applied sciences like medical research, population studies and planning etc. The parametric estimation technique…
It is well known that kernel ridge regression (KRR) is a popular nonparametric regression estimator. Nonetheless, in the presence of a large data set with size $n\gg 1,$ the KRR estimator has the drawback to require an intensive…