Bias correction for estimated distortion risk measure using the bootstrap

DOI10.1016/j.insmatheco.2010.05.001zbMath1231.62187OpenAlexW2050485049MaRDI QIDQ661237

Joseph H. T. Kim

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.05.001

zbMATH Keywords

majorizationbias correctionexact bootstrapconditional tail expectation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Portfolio theory (91G10)

Related Items (5)

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks ⋮ A nonparametric approach to calculating value-at-risk ⋮ The connection between distortion risk measures and ordered weighted averaging operators ⋮ Risk measurement of a guaranteed annuity option under a stochastic modelling framework ⋮ Capital Allocation Using the Bootstrap

Uses Software

• bootstrap
• bootlib

Cites Work

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