Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques (Q4960550)
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scientific article; zbMATH DE number 7192557
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| 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 |
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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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0.7591500878334045
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0.7285568714141846
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0.7260821461677551
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0.7182577252388
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0.7153725624084473
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