Empirical Estimation of Risk Measures and Related Quantities

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Statistical estimation of composite risk functionals and risk optimization problems (2015, methodology): “We refer to Jones and Zitikis (2003, 2007), Brazauskas et al. (2008), Beutner and Zähle (2010), Tsukahara (2013), Belomestny and Krätschmer (2012) for more details on this approach.”
Extremiles: A New Perspective on Asymmetric Least Squares (2018, methodology): “However, as shown by Jones and Zitikis (2003), the asymptotic normality of the empirical PH-measure, ∫∞ 0 (1 − F̂Y (y))λdy, does not cover the range 0 < λ ≤ 1/2, and necessitates the assumption that E|Y |κ < ∞, for some κ > 1/(λ − 1/2), when 1/2 λ ≤ 1.”
Weighted Pricing Functionals With Applications to Insurance (2009, methodology): “This connection between the two areas was first noted and utilized by Jones and Zitikis (2003) and subsequently resulted in an extensive development of statistical inferential results for distortion risk measures and beyond.”