Bias correction for estimated distortion risk measure using the bootstrap
DOI10.1016/J.INSMATHECO.2010.05.001zbMATH Open1231.62187OpenAlexW2050485049MaRDI QIDQ661237FDOQ661237
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
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Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cited In (9)
- 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
- The connection between distortion risk measures and ordered weighted averaging operators
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