Physical Sciences and Mathematics Commons^™

Estimating Distortion Risk Measures Under Truncated And Censored Data Scenarios, Sahadeb Upretee

Theses and Dissertations

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ABSTRACT\\

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ESTIMATING DISTORTION RISK MEASURES UNDER TRUNCATED AND CENSORED DATA SCENARIOS

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~In insurance data analytics and actuarial practice, a broad class of

risk measures -- {\em distortion risk measures\/} -- are used to capture

the riskiness of the distribution tail. Point and interval estimates of

the risk measures are then employed to price extreme events, to develop

reserves, to design risk transfer strategies, and to allocate capital.

When solving such problems, the main statistical challenge is to choose

an appropriate estimate of a risk measure and to assess its variability.

In this context, the empirical …