An Asymptotic Analysis of the Bootstrap Bias Correction for the Empirical CTE

DOI10.1080/10920277.2010.10597586zbMath1219.62071OpenAlexW1965946206MaRDI QIDQ3088973

Jae Youn Ahn, Nariankadu D. Shyamalkumar

Publication date: 23 August 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2010.10597586

Mathematics Subject Classification ID

Related Items (2)

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks ⋮ Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling

Uses Software

• R
• Snow
• snow

Cites Work

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• Quantifying and Correcting the Bias in Estimated Risk Measures
• WHICH PART OF THE SAMPLE CONTAINS THE INFORMATION?
• On a Simple Estimate of the Reciprocal of the Density Function
• Empirical Estimation of Risk Measures and Related Quantities
• Variance of the CTE Estimator

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