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

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)

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

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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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