Asymptotic distribution of law-invariant risk functionals

DOI10.1007/S00780-009-0121-0MaRDI QIDQ650758zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

asymptotic normalityrisk functionalslaw-invarianceM-theorems

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Asymptotic consistency of risk functionals
• Central limit theorems for law-invariant coherent risk measures
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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 3592801 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
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• Failure rate of the minimum and maximum of a multivariate normal distribution
• Functions of Order Statistics
• Generalized deviations in risk analysis
• On distortion functionals
• Optimization of Convex Risk Functions
• Put Option Premiums and Coherent Risk Measures
• Risk capital allocation by coherent risk measures based on one-sided moments.
• Risk measures, distortion parameters, and their empirical estimation
• Satisfying convex risk limits by trading
• Some characterizations of almost sure bounds for weighted multidimensional empirical distributions and a Glivenko-Cantelli theorem for sample quantiles
• Subdifferential representations of risk measures
• Weak convergence and empirical processes. With applications to statistics
• Weighted V\@R and its properties

Cited in

(15)

• 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
• A central limit theorem and hypotheses testing for risk-averse stochastic programs
• Asymptotic consistency of risk functionals
• Constraint generation for risk averse two-stage stochastic programs
• Technical note -- central limit theorems for estimated functions at estimated points
• 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
• Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures

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