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Comparing different methods for estimating distorted tail value at risk

Ouadjed Hakim, Mami Tawfiq Fawzi, Helal Nacera


This paper addresses the problem of estimating the distorted tail value-at-risk (DTVaR) measure which generalize the TVaR (tail value-at-risk ) using empirical, semi-parametric and non-parametric approaches, then applied them to the Secura insurance data.


extreme value theory, risk measure, distortion.

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