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dc.contributor.authorKrätschmer, Volkeren
dc.contributor.authorZähle, Henryken
dc.date.accessioned2010-06-16-
dc.date.accessioned2010-08-26T11:56:52Z-
dc.date.available2010-08-26T11:56:52Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/39297-
dc.description.abstractA simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of the convergence of the error relative to the number of clients, we specify the relative error's asymptotic distribution, and we illustrate our results by means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as distribution-invariant coherent risk measures.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2010,033en
dc.subject.jelG22en
dc.subject.jelG32en
dc.subject.ddc330en
dc.subject.keywordtotal claim distributionen
dc.subject.keyword[phi]- and [alpha]-mixing sequences of random variablesen
dc.subject.keywordnormal approximationen
dc.subject.keywordnonuniform Berry-Esseen inequalityen
dc.subject.keyworddistortion risk measureen
dc.subject.keywordcoherent risk measureen
dc.subject.keywordrobust representationen
dc.subject.stwRisikoen
dc.subject.stwMessungen
dc.subject.stwVersicherungstechnisches Risikoen
dc.subject.stwStatistische Verteilungen
dc.subject.stwStatistischer Fehleren
dc.subject.stwRobustes Verfahrenen
dc.subject.stwTheorieen
dc.titleSensitivity of risk measures with respect to the normal approximation of total claim distributions-
dc.type|aWorking Paperen
dc.identifier.ppn628587465en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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