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Central Limit Theorems for Law-Invariant Coherent Risk Measures

  • Denis Belomestny (a1) and Volker Krätschmer (a1)

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.

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Copyright

Corresponding author

Postal address: Faculty of Mathematics, University of Duisburg-Essen, D-47057 Duisburg, Germany.
∗∗ Email address: denis.belomestny@uni-due.de
∗∗∗ Email address: volker.kraetschmer@uni-due.de

References

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