Asymptotic behavior of the empirical conditional value-at-risk
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Publication:654809
DOI10.1016/j.insmatheco.2011.05.007zbMath1228.91035MaRDI QIDQ654809
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.05.007
large deviation principle; law of iterated logarithm; moderate deviation principle; Berry-Esseen bound; conditional value-at-risk
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
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