• Media type: Text; E-Article
  • Title: Central Limit Theorems for Law-Invariant Coherent Risk Measures
  • Contributor: Krätschmer, Volker [Author]; Belomestny, Denis [Author]
  • imprint: Weierstrass Institute for Applied Analysis and Stochastics publication server, 2012
  • Language: English
  • DOI: https://doi.org/10.1017/s0021900200008834
  • Keywords: article ; law-invariant coherent risk measures -- canonical plug-in estimates -- functional central limit theorems -- weak dependence
  • Origination:
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  • Description: In this paper we study the asymptotic properties of the canonical plugin estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent and identically distributed data, and then extend it to the case of weakly dependent data. Finally, a number of illustrating examples is presented.