Belomestny, Denis; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
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...