Central limit theorems for law-invariant coherent risk measures
- Belomestny, Denis
- Krätschmer, Volker
2010 Mathematics Subject Classification
- 60F05 60F12 62F17
- law-invariant coherent risk measures, canonical plug-in estimates, functional central limit theorems, weak dependence
In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk measures. Under rather mild conditions not relying on the explicit representation of the risk measure under consideration, we first prove a central limit theorem for independent identically distributed data and then extend it to the case of weakly dependent ones. Finally, a number of illustrating examples is presented.
- J. Appl. Probab., 49 (2012) pp. 1--21.