Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
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Publication:2681447
DOI10.1016/j.insmatheco.2022.10.002MaRDI QIDQ2681447
Mary R. Hardy, Ou Dang, Mingbin Feng
Publication date: 3 February 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.10.002
importance sampling; expected shortfall; nested simulation; conditional tail expectation; tail value-at-risk; enterprise risk management; GMWB; likelihood ratio method