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This article is cited in 1 scientific paper (total in 1 paper)
Short Communications
On Two Estimates of a Risk Measure
D. V. Orlov M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
This paper studies the asymptotic behavior of two different empirical estimates of a certain risk measure (minimal V@R), a functional having the form MINVR@$R_{\alpha}(X)=-E\min(X_1,\dots,X_{\alpha})$, where $X_1,\dots,X_{\alpha} $ are independent copies of $X$.
Keywords:
weighted V@R, coherent risk measure, minimal V@R, limit theorems for $L$-statistics.
Received: 29.06.2007
Citation:
D. V. Orlov, “On Two Estimates of a Risk Measure”, Teor. Veroyatnost. i Primenen., 53:1 (2008), 168–172; Theory Probab. Appl., 53:1 (2009), 169–173
Linking options:
https://www.mathnet.ru/eng/tvp2491https://doi.org/10.4213/tvp2491 https://www.mathnet.ru/eng/tvp/v53/i1/p168
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Abstract page: | 362 | Full-text PDF : | 150 | References: | 62 |
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