Asymptotic behavior of the empirical conditional value-at-risk

DOI10.1016/J.INSMATHECO.2011.05.007zbMATH Open1228.91035OpenAlexW2067090644MaRDI QIDQ654809FDOQ654809

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

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

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)

Cites Work

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Cited In (14)

• 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
• A robust estimator of the proportional hazard transform for massive data
• About the conditional value at risk of partial sums
• Moderate deviation principles for importance sampling estimators of risk measures
• Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case
• Asymptotic properties of duration-based VaR backtests
• The law of the iterated logarithm for a class of SPDEs

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