Moderate deviations for estimators of financial risk under an asymmetric Laplace law
DOI10.1080/03610926.2012.746984zbMATH Open1312.60032OpenAlexW2062530597MaRDI QIDQ5249192FDOQ5249192
Authors: Yujie Cai, Shaochen Wang, Fuqing Gao 
Publication date: 29 April 2015
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.746984
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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)
Cites Work
- Coherent measures of risk
- Estimating conditional tail expectation with actuarial applications in view
- Delta method in large deviations and moderate deviations for estimators
- Asymmetric Laplace laws and modeling financial data
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- Large deviations bounds for estimating conditional value-at-risk
- Asymptotic behavior of the empirical conditional value-at-risk
Cited In (2)
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