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Activity Number:
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375
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #310331 |
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Title:
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Testing Hypotheses About the Equality of Several Risk Measure Values with Applications in Insurance
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Author(s):
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Madan Puri*+
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Companies:
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Indiana University
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Address:
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Department of Mathematics, Bloomington, IN, 47405,
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Keywords:
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hypotheses testing ; risk measure ; asymptotic results
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Abstract:
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The talk explores statistical tests about the equality of risk measure values obtained using a distortion-based risk measure. We consider both the cases in which the risk measure value is specified in the null hypothesis and the case in which it is not. In the former case, one- and two-sided alternatives are considered, and in the latter case, ordered and unordered alternatives are considered. Asymptotically most powerful tests are obtained, and asymptotic distributions of the test statistics are found using results about the asymptotic distributions of the risk measure values.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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