Asymptotic distribution of law-invariant risk functionals

DOI10.1007/s00780-009-0121-0zbMath1226.91070OpenAlexW2042935383WikidataQ59254971 ScholiaQ59254971MaRDI QIDQ650758

Nancy Wozabal, Georg Ch. Pflug

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0121-0

zbMATH Keywords

asymptotic normalityrisk functionalslaw-invarianceM-theorems

Mathematics Subject Classification ID

Related Items (9)

Statistical estimation of composite risk functionals and risk optimization problems ⋮ Tail nonlinearly transformed risk measure and its application ⋮ Insurance pricing under ambiguity ⋮ Technical Note—Central Limit Theorems for Estimated Functions at Estimated Points ⋮ A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs ⋮ Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures ⋮ Constraint generation for risk averse two-stage stochastic programs ⋮ Stochastic multi-objective optimization: a survey on non-scalarizing methods ⋮ Uniform limit theorems for functions of order statistics

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