Moderate deviations for estimators of financial risk under an asymmetric Laplace law
From MaRDI portal
Publication:5249192
large deviations principleconditional value-at-riskdelta methodasymmetric Laplace lawmoderate deviations principle
Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Limit theorems in probability theory (60F99) Financial applications of other theories (91G80)
Recommendations
- Moderate deviation principles of the Bayesian estimators of value at risk and conditional value at risk under exponential-gamma models
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- Moderate deviation principles for importance sampling estimators of risk measures
- Asymptotic behavior of the empirical conditional value-at-risk
- Exact moderate and large deviations for linear processes
Cites work
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- Asymmetric Laplace laws and modeling financial data
- Asymptotic behavior of the empirical conditional value-at-risk
- Coherent measures of risk
- Delta method in large deviations and moderate deviations for estimators
- Estimating conditional tail expectation with actuarial applications in view
- Large deviations bounds for estimating conditional value-at-risk
Cited in
(2)
This page was built for publication: Moderate deviations for estimators of financial risk under an asymmetric Laplace law
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5249192)
