TY - JOUR
T1 - Statistical estimation of composite risk functionals and risk optimization problems
AU - Dentcheva, Darinka
AU - Penev, Spiridon
AU - Ruszczyński, Andrzej
N1 - Publisher Copyright:
© 2016, The Institute of Statistical Mathematics, Tokyo.
PY - 2017/8/1
Y1 - 2017/8/1
N2 - We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance, insurance, and other areas associated with optimization under uncertainty and risk. We establish central limit theorems for composite risk functionals. Furthermore, we discuss the asymptotic behavior of optimization problems whose objectives are composite risk functionals and we establish a central limit formula of their optimal values when an estimator of the risk functional is used. While the mathematical structures accommodate commonly used coherent measures of risk, they have more general character, which may be of independent interest.
AB - We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures of risk, which become increasingly popular in finance, insurance, and other areas associated with optimization under uncertainty and risk. We establish central limit theorems for composite risk functionals. Furthermore, we discuss the asymptotic behavior of optimization problems whose objectives are composite risk functionals and we establish a central limit formula of their optimal values when an estimator of the risk functional is used. While the mathematical structures accommodate commonly used coherent measures of risk, they have more general character, which may be of independent interest.
KW - Central limit theorem
KW - Composite functionals
KW - Risk measures
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U2 - 10.1007/s10463-016-0559-8
DO - 10.1007/s10463-016-0559-8
M3 - Article
AN - SCOPUS:84962034589
SN - 0020-3157
VL - 69
SP - 737
EP - 760
JO - Annals of the Institute of Statistical Mathematics
JF - Annals of the Institute of Statistical Mathematics
IS - 4
ER -