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2010-06-15Buch DOI: 10.18452/4261
Sensitivity of risk measures with respect to the normal approximation of total claim distributions
dc.contributor.authorKrätschmer, Volker
dc.contributor.authorZähle, Henryk
dc.date.accessioned2017-06-16T00:09:54Z
dc.date.available2017-06-16T00:09:54Z
dc.date.created2010-06-17
dc.date.issued2010-06-15
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4913
dc.description.abstractA simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of the convergence of the error relative to the number of clients, we specify the relative error’s asymptotic distribution, and we illustrate our results by means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as distribution-invariant coherent risk measures.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjecttotal claim distributioneng
dc.subject[phi]- and [alpha]-mixing sequences of random variableseng
dc.subjectnormal approximationeng
dc.subjectnonuniform Berry-Esseen inequalityeng
dc.subjectdistortion risk measureeng
dc.subjectcoherent risk measureeng
dc.subjectrobust representationeng
dc.subject.ddc330 Wirtschaft
dc.titleSensitivity of risk measures with respect to the normal approximation of total claim distributions
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100112694
dc.identifier.doihttp://dx.doi.org/10.18452/4261
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue33
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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