Please use this identifier to cite or link to this item: doi:10.22028/D291-27879
Title: Bootstrapping Average Value at Risk of Single and Collective Risks
Author(s): Beutner, Eric
Zähle, Henryk
Language: English
Title: Risks
Volume: 6
Issue: 3
Publisher/Platform: MDPI
Year of Publication: 2018
Free key words: Average Value at Risk
compound distribution
nonparametric estimation
multiplier bootstrap
blockwise bootstrap
functional delta-method
uniform quasi-Hadamard differentiability
chain rule
DDC notations: 510 Mathematics
Publikation type: Journal Article
Abstract: 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 risks is established for independent observations. The main results rely on a new functional delta-method for the almost sure bootstrap of uniformly quasi-Hadamard differentiable statistical functionals, to be presented here. The latter seems to be interesting in its own right.
DOI of the first publication: 10.3390/risks6030096
Link to this record: urn:nbn:de:bsz:291--ds-278792
ISSN: 2227-9091
Date of registration: 9-Nov-2020
Faculty: MI - Fakultät für Mathematik und Informatik
Department: MI - Mathematik
Professorship: MI - Prof. Dr. Henryk Zähle
Collections:SciDok - Der Wissenschaftsserver der Universität des Saarlandes

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