Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks

DOI10.1016/J.INSMATHECO.2017.03.001MaRDI QIDQ2397857zbMATH OpenOpenAlexFDO

Authors Alexandra Lauer, Henryk Zähle

Publication date 24 May 2017

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2017.03.001

zbMATH Keywords

average value at riskbootstrap consistencybootstrap-based bias correctioncollective risklaw-invariant risk measurenonparametric estimationvalue at riskweighted exchangeable bootstrap

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20)

Recommendations

• Nonparametric estimation of risk measures of collective risks
• Bias correction for estimated distortion risk measure using the bootstrap
• Quantifying and Correcting the Bias in Estimated Risk Measures
• Nonparametric estimation of the risk premium in case of the standard deviation principle
• The nonparametric estimation of risk premium under variance related premium principle

Cites work

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• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
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• Some Limit Theorems for Large Deviations
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• Stochastic finance. An introduction in discrete time.
• The Exact Bootstrap Mean and Variance of an L-estimator
• The jackknife and bootstrap
• The weighted bootstrap mean for heavy-tailed distributions.
• Weak convergence and empirical processes. With applications to statistics

Cited in

(5)

• Estimating and backtesting risk under heavy tails
• Nonparametric estimation of risk measures of collective risks
• The estimate and its large sample properties of Esscher risk measure under collective risk models
• Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
• Bias correction for estimated distortion risk measure using the bootstrap

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