Central limit theorems for law-invariant coherent risk measures

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 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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Year of publication:	2010-10
Authors:	Belomestny, Denis ; Krätschmer, Volker
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	law-invariant coherent risk measures \| canonical plug-in estimates \| functional central limit theorems \| weak dependence

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2010-052 23 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008683520