Abstract
In this paper we study the asymptotic properties of the canonical plugin 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 and identically distributed data, and then extend it to the case of weakly dependent data. Finally, a number of illustrating examples is presented.
Citation
Denis Belomestny. Volker Krätschmer. "Central limit theorems for law-invariant coherent risk measures." J. Appl. Probab. 49 (1) 1 - 21, March 2012. https://doi.org/10.1239/jap/1331216831
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