Quantifying and Correcting the Bias in Estimated Risk Measures

DOI10.2143/AST.37.2.2024072zbMath1154.62378OpenAlexW4249401458MaRDI QIDQ5505905

Joseph H. T. Kim, Mary R. Hardy

Publication date: 28 January 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.37.2.2024072

zbMATH Keywords

tablessimulations

Mathematics Subject Classification ID

Related Items (11)

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks ⋮ Estimating the conditional tail expectation in the case of heavy-tailed losses ⋮ The Automated Bias-Corrected and Accelerated Bootstrap Confidence Intervals for Risk Measures ⋮ Bias correction for estimated distortion risk measure using the bootstrap ⋮ Bounds for the bias of the empirical CTE ⋮ Risk measurement of a guaranteed annuity option under a stochastic modelling framework ⋮ Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling ⋮ Capital Allocation Using the Bootstrap ⋮ An Asymptotic Analysis of the Bootstrap Bias Correction for the Empirical CTE ⋮ Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement ⋮ Bias, exploitation and proxies in scenario-based risk minimization

Cites Work

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• VaR is subject to a significant positive bias
• A new distribution-free quantile estimator
• The Exact Bootstrap Mean and Variance of an L-estimator

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