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dc.contributor.authorBelomestny, Denisen
dc.contributor.authorKrätschmer, Volkeren
dc.date.accessioned2010-12-14-
dc.date.accessioned2012-04-05T16:12:48Z-
dc.date.available2012-04-05T16:12:48Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2010-052en
dc.subject.jelD81en
dc.subject.jelG32en
dc.subject.ddc330en
dc.subject.keywordlaw-invariant coherent risk measuresen
dc.subject.keywordcanonical plug-in estimatesen
dc.subject.keywordfunctional central limit theoremsen
dc.subject.keywordweak dependenceen
dc.subject.stwRisikomanagementen
dc.subject.stwTheorieen
dc.titleCentral limit theorems for law-invariant coherent risk measures-
dc.typeWorking Paperen
dc.identifier.ppn641641230en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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