A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation

DOI10.1287/opre.1090.0792zbMath1231.62087OpenAlexW2140079029MaRDI QIDQ3100502

Hai Lan, Jeremy Staum, Barry L. Nelson

Publication date: 24 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7ca62f41fb0bbaa6d0c9b59258a2c219c2036e14

zbMATH Keywords

financeempirical likelihoodexpected shortfallconditional value-at-risktail conditional expectationconditional tail expectationworst conditional expectationdesign of experiments: efficiency: screening methodsportfolio: risk management

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric tolerance and confidence regions (62G15)

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