Bootstrapping Average Value at Risk of Single and Collective Risks
Department of Quantitative Economics, Maastricht University, 6200 MD Maastricht, The Netherlands
Department of Mathematics, Saarland University, 66123 Saarbrücken, Germany
Author to whom correspondence should be addressed.
Received: 1 August 2018 / Revised: 27 August 2018 / Accepted: 7 September 2018 / Published: 12 September 2018
Almost sure bootstrap consistency of the blockwise bootstrap for the Average Value at Risk of single risks is established for strictly stationary
-mixing observations. Moreover, almost sure bootstrap consistency of a multiplier bootstrap for the Average Value at Risk of collective risks is established for independent observations. The main results rely on a new functional delta-method for the almost sure bootstrap of uniformly quasi-Hadamard differentiable statistical functionals, to be presented here. The latter seems to be interesting in its own right.
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MDPI and ACS Style
Beutner, E.; Zähle, H. Bootstrapping Average Value at Risk of Single and Collective Risks. Risks 2018, 6, 96.
Beutner E, Zähle H. Bootstrapping Average Value at Risk of Single and Collective Risks. Risks. 2018; 6(3):96.
Beutner, Eric; Zähle, Henryk. 2018. "Bootstrapping Average Value at Risk of Single and Collective Risks." Risks 6, no. 3: 96.
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