Computing Sensitivities for Distortion Risk Measures

DOI10.1287/IJOC.2020.1016MaRDI QIDQ5084612zbMATH OpenOpenAlexFDO

Authors

Publication date 28 June 2022

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.2020.1016

zbMATH Keywords

asymptotic analysisdistortion risk measurefunctional limit theorysensitivity analysis

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cited in

(3)

• Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
• Review of large-scale simulation optimization
• Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs

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