Estimating the variance of bootstrapped risk measures

DOI10.2143/AST.39.1.2038062MaRDI QIDQ3067088zbMATH OpenFDO

Authors Joseph H. T. Kim, Mary R. Hardy

Publication date 20 January 2011

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/AST.39.1.2038062

zbMATH Keywords

distortion risk measureexact bootstrapinfluence functionL-estimatornonparametric delta methodvariance estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Risk Measures and Comonotonicity: A Review
• The Exact Bootstrap Mean and Variance of an L-estimator

Cited in

(8)

• Risk measurement of a guaranteed annuity option under a stochastic modelling framework
• An asymptotic analysis of the bootstrap bias correction for the empirical CTE
• Statistical bootstrapping methods in VaR calculation
• The Exact Bootstrap Mean and Variance of an L-estimator
• Capital Allocation Using the Bootstrap
• Bootstrap Mean Squared Error of Prediction in Loss Reserving
• Nonparametric inference for VaR, CTE, and expectile with high-order precision
• Bias correction for estimated distortion risk measure using the bootstrap

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