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 hdl:20.500.11880/29975 http://dx.doi.org/10.22028/D291-27879 |
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 |
Files for this record:
File | Description | Size | Format | |
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risks-06-00096-v2.pdf | 1,11 MB | Adobe PDF | View/Open |
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