Asymptotic behavior of the empirical conditional value-at-risk

DOI10.1016/J.INSMATHECO.2011.05.007MaRDI QIDQ654809zbMATH OpenOpenAlexFDO

Authors Fuqing Gao, Shaochen Wang

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

zbMATH Keywords

Berry-Esseen boundlarge deviation principlemoderate deviation principleconditional value-at-risklaw of iterated logarithm

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• About the conditional value at risk of partial sums
• Large deviations bounds for estimating conditional value-at-risk
• Concentration bounds for empirical conditional value-at-risk: the unbounded case
• Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case
• Asymptotic distribution of the sample average value-at-risk

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• Large deviations bounds for estimating conditional value-at-risk
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• Worst VaR scenarios with given marginals and measures of association

Cited in

(14)

• The law of the iterated logarithm for a class of SPDEs
• Relative bound and asymptotic comparison of expectile with respect to expected shortfall
• Deviation inequalities for an estimator of the conditional value-at-risk
• Concentration bounds for empirical conditional value-at-risk: the unbounded case
• Large deviations bounds for estimating conditional value-at-risk
• Asymptotic distribution of the sample average value-at-risk
• Moderate deviations for estimators of financial risk under an asymmetric Laplace law
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• The law of the iterated logarithm for two-dimensional stochastic Navier-Stokes equations
• About the conditional value at risk of partial sums
• A robust estimator of the proportional hazard transform for massive data
• Moderate deviation principles for importance sampling estimators of risk measures
• Asymptotic properties of duration-based VaR backtests
• Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case

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