Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
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DOI: 10.1016/j.insmatheco.2017.03.001
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References listed on IDEAS
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Cited by:
- Eric Beutner & Henryk Zähle, 2018. "Bootstrapping Average Value at Risk of Single and Collective Risks," Risks, MDPI, vol. 6(3), pages 1-30, September.
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Keywords
Law-invariant risk measure; Collective risk; Nonparametric estimation; Bootstrap consistency; Weighted exchangeable bootstrap; Bootstrap-based bias correction; Value at Risk; Average Value at Risk;All these keywords.
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