The Automated bias-corrected and accelerated bootstrap confidence intervals for risk measures

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      <subfield code="a">The Automated bias-corrected and accelerated bootstrap confidence intervals for risk measures</subfield>
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      <subfield code="a">Different approaches to determining two-sided interval estimators for risk measures such as Value-at-Risk (VaR) and conditional tail expectation (CTE) when modeling loss data exist in the actuarial literature. Two contrasting methods can be distinguished: a nonparametric one not relying on distributional assumptions or a fully parametric one relying on standard asymptotic theory to apply. We complement these approaches and take advantage of currently available computer power to propose the biascorrected and accelerated (BCA) confidence intervals for VaR and CTE.</subfield>
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