Quasi-Hadamard differentiability of general risk functionals and its application

DOI10.1515/strm-2014-1174zbMath1346.60019arXiv1401.3167OpenAlexW2963524103MaRDI QIDQ2340427

Henryk Zähle, Volker Krätschmer, Alexander Schied

Publication date: 17 April 2015

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.3167

zbMATH Keywords

strong limit theoremplug-in estimatorsfunctional delta methodweak limit theoremKusuoka representationlaw-invariant coherent risk measurequasi-Hadamard derivative

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Related Items (6)

Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals ⋮ Higher order elicitability and Osband's principle ⋮ Weak Continuity of Risk Functionals with Applications to Stochastic Programming ⋮ COHERENCE AND ELICITABILITY ⋮ TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL ⋮ Donsker results for the empirical process indexed by functions of locally bounded variation and applications to the smoothed empirical process

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