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Subject: canonical plug-in estimates ×

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    Central limit theorems for law-invariant coherent risk measures
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2010) Belomestny, Denis; Krätschmer, Volker
    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.