Loss robustness via Fisher-weighted squared-error loss function

Research output: Contribution to journalArticlepeer-review


This paper discusses measures of loss robustness which could facilitate the specification of a loss function for estimating an unknown risk parameter. In particular risk robustness and posterior loss robustness are defined and it is shown that for the gamma distribution the Fisher-weighted squared-error loss function is robust in both senses.

Original languageEnglish
Pages (from-to)1-6
Number of pages6
JournalInsurance: Mathematics and Economics
Issue number1
StatePublished - Apr 1995


  • Fisher-weighted squared-error loss function
  • Loss robustness
  • Risk robustness

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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