Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Ou Dang, Mingbin Feng, Mary R. Hardy
| Year of publication: |
2023
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|---|---|
| Authors: | Dang, Ou ; Feng, Mingbin ; Hardy, Mary Rosalyn |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 108.2023, p. 1-24
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| Subject: | Conditional tail expectation | Enterprise risk management | Expected shortfall | GMWB | Importance sampling | Likelihood ratio method | Nested simulation | Tail value-at-risk | Theorie | Theory | Risikomanagement | Risk management | Risikomaß | Risk measure | Simulation | Statistische Verteilung | Statistical distribution | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.10.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013534507