Sensitivity of risk measures with respect to the normal approximation of total claim distributions
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1519 | |
| dc.contributor.author | Krätschmer, Volker | |
| dc.contributor.author | Zähle, Henryk | |
| dc.date.accessioned | 2016-03-24T17:38:37Z | |
| dc.date.available | 2019-06-28T08:05:21Z | |
| dc.date.issued | 2010 | |
| dc.description.abstract | A simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of the convergence of the error relative to the number of clients, we specify the relative error's asymptotic distribution, and we illustrate our results by means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as distribution-invariant coherent risk measures. | |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/3139 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2299 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.subject.ddc | 510 | |
| dc.subject.other | Total claim distribution | eng |
| dc.subject.other | f - and a-mixing sequences of random variables | eng |
| dc.subject.other | normal approximation | eng |
| dc.subject.other | nonuniform Berry-Esseen inequality | eng |
| dc.subject.other | distortion risk measure | eng |
| dc.subject.other | coherent risk measure | eng |
| dc.subject.other | robust representation | eng |
| dc.title | Sensitivity of risk measures with respect to the normal approximation of total claim distributions | |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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