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Melnikov, S. and Romaniuk, Y. (2006) Evaluating the Performance of Gompertz, Makeham and Lee-Carter Mortality Models for Risk Management with Unit-Linked Contracts. Insurance: Mathematics and Economics, 39, 310-329.
https://doi.org/10.1016/j.insmatheco.2006.02.012

has been cited by the following article:

• TITLE: Bootstrapping the Expected Shortfall

  AUTHORS: Shuxia Sun, Fuxia Cheng

  KEYWORDS: High Quantile, Risk Measure, Moving Block Bootstrap, Nonparametric Estimation, Strong Mixing Sample Quantile

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.4, March 7, 2018

  ABSTRACT: The expected shortfall is a popular risk measure in financial risk management. It is defined as the conditional expected loss given that the loss is greater than a given high quantile. We derive the asymptotic properties of the blocking bootstrap estimators for the expected shortfall of a stationary process under strong mixing conditions.