Estimating the Variance of Bootstrapped Risk Measures

DOI10.2143/AST.39.1.2038062zbMath1205.91085MaRDI QIDQ3067088

Joseph H. T. Kim, Mary R. Hardy

Publication date: 20 January 2011

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

influence functionvariance estimationdistortion risk measureexact bootstrapL-estimatornonparametric delta method

Mathematics Subject Classification ID

Related Items (5)

Bias correction for estimated distortion risk measure using the bootstrap ⋮ Risk measurement of a guaranteed annuity option under a stochastic modelling framework ⋮ Capital Allocation Using the Bootstrap ⋮ An Asymptotic Analysis of the Bootstrap Bias Correction for the Empirical CTE ⋮ Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision

Cites Work

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• Risk Measures and Comonotonicity: A Review
• The Exact Bootstrap Mean and Variance of an L-estimator

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