Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques (Q4960550): Difference between revisions
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Revision as of 01:53, 20 March 2024
scientific article; zbMATH DE number 7192557
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques |
scientific article; zbMATH DE number 7192557 |
Statements
Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques (English)
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23 April 2020
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utility-based shortfall risk measures
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kernel density
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importance sampling
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