Asymptotic behavior of the empirical conditional value-at-risk

DOI10.1016/j.insmatheco.2011.05.007zbMath1228.91035OpenAlexW2067090644MaRDI QIDQ654809

Fu Qing 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

large deviation principlelaw of iterated logarithmmoderate deviation principleBerry-Esseen boundconditional value-at-risk

Mathematics Subject Classification ID

Related Items (6)

The law of the iterated logarithm for two-dimensional stochastic Navier-Stokes equations ⋮ A robust estimator of the proportional hazard transform for massive data ⋮ Moderate deviation principles for importance sampling estimators of risk measures ⋮ The law of the iterated logarithm for a class of SPDEs ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall ⋮ Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law

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