• Medientyp: E-Book; Bericht
  • Titel: Central limit theorems for law-invariant coherent risk measures
  • Beteiligte: Belomestny, Denis [VerfasserIn]; Krätschmer, Volker [VerfasserIn]
  • Erschienen: Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2010
  • Sprache: Englisch
  • Schlagwörter: law-invariant coherent risk measures ; canonical plug-in estimates ; G32 ; Theorie ; Risikomanagement ; D81 ; functional central limit theorems ; weak dependence
  • Entstehung:
  • Anmerkungen: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Beschreibung: In this paper we study the asymptotic properties of the canonical plug-in 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 identically distributed data and then extend it to the case of weakly dependent ones. Finally, a number of illustrating examples is presented.
  • Zugangsstatus: Freier Zugang