Bias correction for estimated distortion risk measure using the bootstrap

DOI10.1016/J.INSMATHECO.2010.05.001MaRDI QIDQ661237zbMATH OpenOpenAlexFDO

Authors Joseph H. T. Kim

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.05.001

zbMATH Keywords

bias correctionmajorizationexact bootstrapconditional tail expectation

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

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• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
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• The bootstrap and Edgeworth expansion
• The jackknife and bootstrap
• VaR is subject to a significant positive bias

Cited in

(9)

• The connection between distortion risk measures and ordered weighted averaging operators
• Estimating the variance of bootstrapped risk measures
• A nonparametric approach to calculating value-at-risk
• Quantifying and Correcting the Bias in Estimated Risk Measures
• Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
• An asymptotic analysis of the bootstrap bias correction for the empirical CTE
• Capital Allocation Using the Bootstrap
• Risk measurement of a guaranteed annuity option under a stochastic modelling framework
• Estimation and backtesting of risk measures with emphasis on distortion risk measures

Describes a project that uses

Uses Software

• boot
• bootstrap

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