Central limit theorems for law-invariant coherent risk measures
AbstractIn 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 rst 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.
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2010-052.
Length: 23 pages
Date of creation: Oct 2010
Date of revision:
law-invariant coherent risk measures; canonical plug-in estimates; functional central limit theorems; weak dependence;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-13 (All new papers)
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- Bellini, Fabio & Rosazza Gianin, Emanuela, 2012. "Haezendonck–Goovaerts risk measures and Orlicz quantiles," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 107-114.
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