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Teoriya Veroyatnostei i ee Primeneniya, 2008, Volume 53, Issue 1, Pages 168–172
DOI: https://doi.org/10.4213/tvp2491
(Mi tvp2491)
 

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
Full-text PDF (499 kB) Citations (1)
References:
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
English version:
Theory of Probability and its Applications, 2009, Volume 53, Issue 1, Pages 169–173
DOI: https://doi.org/10.1137/S0040585X97983456
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp2491
  • https://doi.org/10.4213/tvp2491
  • https://www.mathnet.ru/eng/tvp/v53/i1/p168
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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    Abstract page:362
    Full-text PDF :150
    References:62
     
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