Asymptotic distribution of law-invariant risk functionals
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Publication:650758
DOI10.1007/S00780-009-0121-0zbMATH Open1226.91070OpenAlexW2042935383WikidataQ59254971 ScholiaQ59254971MaRDI QIDQ650758FDOQ650758
Authors: Nancy Wozabal, Georg Ch. Pflug 
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0121-0
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Cited In (15)
- Technical Note—Central Limit Theorems for Estimated Functions at Estimated Points
- Are law-invariant risk functions concave on distributions?
- Stochastic multi-objective optimization: a survey on non-scalarizing methods
- Uniform limit theorems for functions of order statistics
- Statistical estimation of composite risk functionals and risk optimization problems
- Central limit theorems for law-invariant coherent risk measures
- Asymptotic consistency of risk functionals
- Constraint generation for risk averse two-stage stochastic programs
- On two estimates of a risk measure
- Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
- Insurance pricing under ambiguity
- Tail nonlinearly transformed risk measure and its application
- Dilatation monotone risk measures are law invariant
- A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs
- Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
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