Authors: Zähle, Henryk
Title: Rates of almost sure convergence of plug-in estimates for distortion risk measures
Language (ISO): en
Abstract: In this article, we consider plug-in estimates for distortion risk measures as for instance the Value-at-Risk, the Expected Shortfall or the Wang transform. We allow for fairly general estimates of the underlying unknown distribution function (beyond the classical empirical distribution function) to be plugged in the risk measure. We establish strong consistency of the estimates, we investigate the rate of almost sure convergence, and we study the small sample behavior by means of simulations.
Subject Headings: risk measure
plug-in estimation
empirical distribution function
Glivenko-Cantelli theorem for weighted errors
Issue Date: 2010-03-02T13:33:16Z
Appears in Collections:Preprints der Fakultät für Mathematik

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