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

DOI10.1016/J.INSMATHECO.2017.03.001zbMATH Open1394.62050OpenAlexW2593884334MaRDI QIDQ2397857FDOQ2397857

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

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zbMATH Keywords

bootstrap consistencynonparametric estimationvalue at risklaw-invariant risk measureaverage value at riskcollective riskbootstrap-based bias correctionweighted exchangeable bootstrap

Mathematics Subject Classification ID

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

Cites Work

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Cited In (5)

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

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