Asymptotic distribution of law-invariant risk functionals
From MaRDI portal
Publication:650758
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
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Weighted V\@R and its properties
- Coherent risk measures in inventory problems
- Estimating conditional tail expectation with actuarial applications in view
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Convex measures of risk and trading constraints
- Weak convergence and empirical processes. With applications to statistics
- Risk measures, distortion parameters, and their empirical estimation
- Satisfying convex risk limits by trading
- Generalized deviations in risk analysis
- Subdifferential representations of risk measures
- Coherent Measures of Risk
- On distortion functionals
- Some characterizations of almost sure bounds for weighted multidimensional empirical distributions and a Glivenko-Cantelli theorem for sample quantiles
- Asymptotic Statistics
- Put Option Premiums and Coherent Risk Measures
- Optimization of Convex Risk Functions
- Functions of Order Statistics
- Empirical Estimation of Risk Measures and Related Quantities
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Failure rate of the minimum and maximum of a multivariate normal distribution
This page was built for publication: Asymptotic distribution of law-invariant risk functionals
