Asymptotic consistency of risk functionals

作者：Wozabal David^*; Wozabal Nancy

来源：Journal of Nonparametric Statistics, 2009, 21(8): 977-990.

DOI：10.1080/10485250903060592

• L-statistics
• law of large numbers
• asymptotic consistency
• coherent risk functionals
• law-invariance

Risk measures are functionals on spaces of random variables designed to quantify financial risk. In this paper, we consider the statistical properties of plug-in estimates for the broad class of coherent, law invariant risk functionals. In particular, we provide several sets of sufficient conditions to establish asymptotic consistency based on a general representation result for this class of functionals. We demonstrate the applicability of our approach by applying it to several well-known examples of risk functionals.

• 出版日期2009
• 单位国际应用系统分析学会(IIASA)