An asymptotic analysis of the bootstrap bias correction for the empirical CTE
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Publication:3088973
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Cites work
- scientific article; zbMATH DE number 5819433 (Why is no real title available?)
- A Note on Nonparametric Estimation of the CTE
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- Investment guarantees: Modeling and risk management for equity-linked life insurance
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- On smoothing and the bootstrap
- On the estimation of the quantile density function
- Quantifying and Correcting the Bias in Estimated Risk Measures
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- Unified estimators of smooth quantile and quantile density functions
- Variance of the CTE Estimator
- WHICH PART OF THE SAMPLE CONTAINS THE INFORMATION?
- \texttt{Snow}: A parallel computing framework for the R system
Cited in
(4)- Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
- Large sample behavior of the CTE and VaR estimators under importance sampling
- Bias correction for estimated distortion risk measure using the bootstrap
- Bounds for the bias of the empirical CTE
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