Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
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Cites work
- Conditional Monte Carlo estimation of quantile sensitivities
- Estimating quantile sensitivities
- scientific article; zbMATH DE number 50675 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- Kernel estimation of quantile sensitivities
- Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
- Sensitivity analysis of ranked data: from order statistics to quantiles
- Simulating sensitivities of conditional value at risk
- Variance Reduction Techniques for Estimating Value-at-Risk
Cited in
(21)- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- Quantile sensitivity estimation for dependent sequences
- Pathwise estimation of probability sensitivities through terminating or steady-state simulations
- Conditional Monte Carlo estimation of quantile sensitivities
- Quantile sensitivity estimation
- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Efficient Sampling Allocation Procedures for Optimal Quantile Selection
- A Stochastic Approximation Method for Simulation-Based Quantile Optimization
- Computing Sensitivities for Distortion Risk Measures
- Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
- Estimating quantile sensitivities
- Insurance portfolio risk retention
- Sharp Sensitivity Analysis for Inverse Propensity Weighting via Quantile Balancing
- Estimating the VaR-induced Euler allocation rule
- Fifty years at the interface between financial modeling and operations research
- Blackbox simulation optimization
- Review of large-scale simulation optimization
- Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs
- Sensitivity analysis of ranked data: from order statistics to quantiles
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