Asymptotic consistency of risk functionals

DOI10.1080/10485250903060592MaRDI QIDQ3648630zbMATH OpenOpenAlexFDO

Authors David Wozabal, Nancy Wozabal

Publication date 27 November 2009

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250903060592

zbMATH Keywords

law of large numbersasymptotic consistencyL-statisticslaw-invariancecoherent risk functionals

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of functional analysis in probability theory and statistics (46N30) Order statistics; empirical distribution functions (62G30)

Recommendations

• Asymptotic distribution of law-invariant risk functionals
• Statistical estimation of composite risk functionals and risk optimization problems
• Central limit theorems for law-invariant coherent risk measures
• Consistency of sample estimates of risk averse stochastic programs
• Quasi-Hadamard differentiability of general risk functionals and its application

Cites work

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Cited in

(13)

• Asymptotic distribution of law-invariant risk functionals
• A modified functional delta method and its application to the estimation of risk functionals
• Consistency of sample estimates of risk averse stochastic programs
• Statistical estimation of composite risk functionals and risk optimization problems
• A Functional Approach to Approximations for the Individual Risk Model
• Central limit theorems for law-invariant coherent risk measures
• Risk-adaptive approaches to stochastic optimization: a survey
• Rates of almost sure convergence of plug-in estimates for distortion risk measures
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Bayesian CV@R/super-quantile regression
• Quasi-Hadamard differentiability of general risk functionals and its application
• Existence and uniqueness of risk-sensitive estimates
• Nonasymptotic Convergence Rates for the Plug-in Estimation of Risk Measures

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