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Asymptotic distribution of law-invariant risk functionals
Authors:Georg Pflug  Nancy Wozabal
Affiliation:1. Department of Statistics and Decision Support Systems, University of Vienna, Universitaetsstrasse 5, 1010, Vienna, Austria
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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