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Asymptotic distribution of law-invariant risk functionals

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Abstract

Law-invariant or version-independent coherent risk or acceptability functionals do not explicitly depend on the underlying probability space and can be considered as functionals of the distribution function. In this paper, we consider estimates of these functionals based on the empirical distribution function and investigate their asymptotic properties.

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Authors and Affiliations

  1. Department of Statistics and Decision Support Systems, University of Vienna, Universitaetsstrasse 5, 1010, Vienna, Austria

    Georg Pflug & Nancy Wozabal

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  1. Georg Pflug
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  2. Nancy Wozabal
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Correspondence to Nancy Wozabal.

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Pflug, G., Wozabal, N. Asymptotic distribution of law-invariant risk functionals. Finance Stoch 14, 397–418 (2010). https://doi.org/10.1007/s00780-009-0121-0

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