@techreport{Belomestny2010Central,
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.},
address = {Berlin},
author = {Denis Belomestny and Volker Kr\"{a}tschmer},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {D81; G32; 330; law-invariant coherent risk measures; canonical plug-in estimates; functional central limit theorems; weak dependence; Risikomanagement; Theorie},
language = {eng},
number = {2010-052},
publisher = {SFB 649, Economic Risk},
title = {Central limit theorems for law-invariant coherent risk measures},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/56647},
year = {2010}
}
