Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law

DOI10.1080/03610926.2012.746984zbMath1312.60032OpenAlexW2062530597MaRDI QIDQ5249192

Shaochen Wang, Yujie Cai, Fu Qing Gao

Publication date: 29 April 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.746984

zbMATH Keywords

large deviations principledelta methodconditional value-at-riskasymmetric Laplace lawmoderate deviations principle

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10) Financial applications of other theories (91G80) Limit theorems in probability theory (60F99)

Cites Work

• Delta method in large deviations and moderate deviations for estimators
• Asymptotic behavior of the empirical conditional value-at-risk
• Estimating conditional tail expectation with actuarial applications in view
• Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
• Asymmetric Laplace laws and modeling financial data
• Large deviations bounds for estimating conditional value-at-risk
• Coherent Measures of Risk

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