Quantifying and correcting the bias in estimated risk measures

被引：21

作者：

Kim, Joseph Hyun Tae ^{[1
]}

Hardy, Mary R. ^{[1
]}

机构：

[1] Univ Waterloo, Waterloo, ON N2L 3G1, Canada

来源：

ASTIN BULLETIN | 2007年 / 37卷 / 02期

关键词：

D O I：

10.2143/AST.37.2.2024072

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we explore the bias in the estimation of the Value at Risk and Conditional Tail Expectation risk measures using Monte Carlo simulation. We assess the use of bootstrap techniques to correct the bias for a number of different examples. In the case of the Conditional Tail Expectation, we show that application of the exact bootstrap can improve estimates, and we develop a practical guideline for assessing when to use the exact bootstrap.

引用

页码：365 / 386

页数：22

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