An asymptotic analysis of the bootstrap bias correction for the empirical CTE
DOI10.1080/10920277.2010.10597586zbMATH Open1219.62071OpenAlexW1965946206MaRDI QIDQ3088973FDOQ3088973
Authors: Jae Youn Ahn, Nariankadu D. Shyamalkumar 
Publication date: 23 August 2011
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2010.10597586
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Cites Work
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- Estimating the variance of bootstrapped risk measures
- A Note on Nonparametric Estimation of the CTE
- Estimating densities, quantiles, quantile densities and density quantiles
- Approximate distribution of the maximum deviation of histograms
- AN ESTIMATE OF THE ASYMPTOTIC STANDARD ERROR OF THE SAMPLE MEDIAN
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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