Bounds for the bias of the empirical CTE
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Publication:661260
DOI10.1016/j.insmatheco.2010.08.001zbMath1231.91231MaRDI QIDQ661260
Nariankadu D. Shyamalkumar, Ralph P. Russo
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.08.001
62P05: Applications of statistics to actuarial sciences and financial mathematics
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Cites Work
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- Large deviations bounds for estimating conditional value-at-risk
- Coherent Measures of Risk
- The Distribution of Order Statistics for Discrete Random Variables with Applications to Bootstrapping
- Approximation Theorems of Mathematical Statistics
- Risk Measures and Comonotonicity: A Review
- A Note on Nonparametric Estimation of the CTE
- Quantifying and Correcting the Bias in Estimated Risk Measures
- Empirical Estimation of Risk Measures and Related Quantities
- Variance of the CTE Estimator