Central Limit Theorems for Law-Invariant Coherent Risk Measures

DOI10.1239/jap/1331216831zbMath1245.60026OpenAlexW2067461556MaRDI QIDQ5388737

Denis Belomestny, Volker Krätschmer

Publication date: 20 April 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1331216831

zbMATH Keywords

functional central limit theoremweak dependencelaw-invariant coherent risk measurecanonical plugin estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (9)

Statistical estimation of composite risk functionals and risk optimization problems ⋮ Weak Continuity of Risk Functionals with Applications to Stochastic Programming ⋮ Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces ⋮ Comparative and qualitative robustness for law-invariant risk measures ⋮ A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs ⋮ On risk-averse stochastic semidefinite programs with continuous recourse ⋮ Risk-Averse Models in Bilevel Stochastic Linear Programming ⋮ Bilevel Linear Optimization Under Uncertainty ⋮ Nonparametric estimation of risk measures of collective risks

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