Central limit theorems for law-invariant coherent risk measures

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Date
2010
Volume
1551
Issue
Journal
Series Titel
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Publisher
Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
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Abstract

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.

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Keywords
Law-invariant coherent risk measures, canonical plug-in estimates, functional central limit theorems, weak dependence
Citation
Belomestny, D., & Krätschmer, V. (2010). Central limit theorems for law-invariant coherent risk measures (Vol. 1551). Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik.
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