Risks (Sep 2018)

Bootstrapping Average Value at Risk of Single and Collective Risks

  • Eric Beutner,
  • Henryk Zähle

DOI
https://doi.org/10.3390/risks6030096
Journal volume & issue
Vol. 6, no. 3
p. 96

Abstract

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Almost sure bootstrap consistency of the blockwise bootstrap for the Average Value at Risk of single risks is established for strictly stationary β -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.

Keywords