Asymptotic behavior of the empirical conditional value-at-risk

DOI10.1016/j.insmatheco.2011.05.007zbMath1228.91035MaRDI QIDQ654809

Fu Qing Gao, Shaochen Wang

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.05.007

zbMATH Keywords

large deviation principle; law of iterated logarithm; moderate deviation principle; Berry-Esseen bound; conditional value-at-risk

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Moderate deviation principles for importance sampling estimators of risk measures, The law of the iterated logarithm for a class of SPDEs, Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law, The law of the iterated logarithm for two-dimensional stochastic Navier-Stokes equations, A robust estimator of the proportional hazard transform for massive data, Relative bound and asymptotic comparison of expectile with respect to expected shortfall

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