Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56647
Full metadata record
DC FieldValueLanguage
dc.contributor.authorBelomestny, Denisen_US
dc.contributor.authorKrätschmer, Volkeren_US
dc.date.accessioned2010-12-14en_US
dc.date.accessioned2012-04-05T16:12:48Z-
dc.date.available2012-04-05T16:12:48Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/56647-
dc.description.abstractIn 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.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2010-052en_US
dc.subject.jelD81en_US
dc.subject.jelG32en_US
dc.subject.ddc330en_US
dc.subject.keywordlaw-invariant coherent risk measuresen_US
dc.subject.keywordcanonical plug-in estimatesen_US
dc.subject.keywordfunctional central limit theoremsen_US
dc.subject.keywordweak dependenceen_US
dc.subject.stwRisikomanagementen_US
dc.subject.stwTheorieen_US
dc.titleCentral limit theorems for law-invariant coherent risk measuresen_US
dc.typeWorking Paperen_US
dc.identifier.ppn641641230en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

Files in This Item:
File
Size
498.57 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.