Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks

2017 ◽  
Vol 74 ◽  
pp. 99-108 ◽  
Author(s):  
Alexandra Lauer ◽  
Henryk Zähle
Keyword(s):  
Nonparametric Estimation ◽  
Bias Correction ◽  
Risk Measures ◽  
Estimation Of Risk

scholarly journals Nonparametric estimation of risk measures of collective risks

2016 ◽  
Vol 32 (2) ◽  
Author(s):  
Alexandra Lauer ◽  
Henryk Zähle
Keyword(s):  
Nonparametric Estimation ◽  
Risk Measures ◽  
Risk Measure ◽  
Nonparametric Estimators ◽  
Estimation Of Risk

AbstractWe consider two nonparametric estimators for the risk measure of the sum of

ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS

2021 ◽  
Vol 62 (1) ◽  
pp. 35-80
Author(s):  
El Hadji Deme ◽  
Mouhamad M. Allaya ◽  
Siradhi Deme ◽  
Hamza Dhaker ◽  
Ali Souleyman Dabye
Keyword(s):  
Risk Measures ◽  
Heavy Tailed Distributions ◽  
Heavy Tailed ◽  
Estimation Of Risk

Estimation of risk measures for large credit portfolios

2014 ◽  
Vol 10 (2) ◽  
pp. 3-37
Author(s):  
Johannes Hauptmann ◽  
Pablo Olivares ◽  
Rudi Zagst
Keyword(s):  
Risk Measures ◽  
Estimation Of Risk

scholarly journals Adaptive Bernstein Copulas and Risk Management

Mathematics ◽  
2020 ◽  
Vol 8 (12) ◽  
pp. 2221
Author(s):  
Dietmar Pfeifer ◽  
Olena Ragulina
Keyword(s):  
Risk Management ◽  
Risk Measures ◽  
Constructive Approach ◽  
Arbitrary Dimensions ◽  
Estimation Of Risk

We present a constructive approach to Bernstein copulas with an admissible discrete skeleton in arbitrary dimensions when the underlying marginal grid sizes are smaller than the number of observations. This prevents an overfitting of the estimated dependence model and reduces the simulation effort for Bernstein copulas a lot. In a case study, we compare different approaches of Bernstein and Gaussian copulas regarding the estimation of risk measures in risk management.

scholarly journals Nonparametric Estimation of Risk-Neutral Densities

2011 ◽  
pp. 277-305 ◽  
Author(s):  
Maria Grith ◽  
Wolfgang Karl Härdle ◽  
Melanie Schienle
Keyword(s):  
Nonparametric Estimation ◽  
Risk Neutral ◽  
Estimation Of Risk
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