The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation (Q4980426)
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scientific article; zbMATH DE number 6311267
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| English | The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation |
scientific article; zbMATH DE number 6311267 |
Statements
30 June 2014
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two-level nested simulation
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variance of the conditional expectation
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unbiased estimator
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VaR
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0.873478353023529
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0.8229902982711792
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0.8084313869476318
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0.7992952466011047
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0.7980080246925354
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