Bootstrapping Average Value at Risk of Single and Collective Risks

Bootstrapping Average Value at Risk of Single and Collective Risks

Almost sure bootstrap consistency of the blockwise bootstrap for the Average Value at Risk of single risks is established for strictly stationary β -mixing observations. Moreover, almost sure bootstrap consistency of a multiplier bootstrap for the Average Value at Risk of collective ri...

Full description

Bibliographic Details
Main Authors: Eric Beutner, Henryk Zähle
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Risks
Subjects:
Average Value at Risk
compound distribution
nonparametric estimation
multiplier bootstrap
blockwise bootstrap
functional delta-method
uniform quasi-Hadamard differentiability
chain rule
Online Access:http://www.mdpi.com/2227-9091/6/3/96

Internet

http://www.mdpi.com/2227-9091/6/3/96

Similar Items