Quantifying and correcting the bias in estimated risk measures
نویسندگان
چکیده
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. ∗Joseph Kim is supported in part by the Ph.D. Grant of the Society of Actuaries and the PGS-D2 of the NSERC Canada †Mary Hardy acknowledges the support of the Natural Sciences and Engineering Research Council of Canada
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