Autor(en): | Zähle, Henryk |
Titel: | Rates of almost sure convergence of plug-in estimates for distortion risk measures |
Sprache (ISO): | en |
Zusammenfassung: | 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. |
Schlagwörter: | risk measure plug-in estimation empirical distribution function smoothing censoring Glivenko-Cantelli theorem for weighted errors |
URI: | http://hdl.handle.net/2003/26949 http://dx.doi.org/10.17877/DE290R-8694 |
Erscheinungsdatum: | 2010-03-02T13:33:16Z |
Enthalten in den Sammlungen: | Preprints der Fakultät für Mathematik |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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mathematicalPreprint01-10.pdf | 377.73 kB | Adobe PDF | Öffnen/Anzeigen |
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