EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: person:"Wang, Shaochen"
Narrow search

Narrow search

Year of publication
Subject
All
Moderate deviation principle 2 Berry–Essen bound 1 CKLS model 1 Central limit theorem 1 Conditional value-at-risk 1 Large deviation principle 1 Law of iterated logarithm 1 Small perturbation 1
more ... less ...
Online availability
All
Undetermined 2
Type of publication
All
Article 4
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
Undetermined 3 English 1
Author
All
Wang, Shaochen 4 Gao, Fuqing 3 Cai, Yujie 1
Published in...
All
Insurance / Mathematics & economics 2 Insurance: Mathematics and Economics 1 Statistics & Probability Letters 1
Source
All
RePEc 2 ECONIS (ZBW) 1 OLC EcoSci 1
Showing 1 - 4 of 4
Cover Image
Central limit theorem and moderate deviation principle for CKLS model with small random perturbation
Cai, Yujie; Wang, Shaochen - In: Statistics & Probability Letters 98 (2015) C, pp. 6-11
In this paper, we study the asymptotic behavior of randomly perturbed Chan–Karolyi–Longstaff–Sanders (CKLS) model with small parameter ε. When ε→0, the central limit theorem and moderate deviation principle for the solution of randomly perturbed CKLS model are obtained.
Persistent link: https://www.econbiz.de/10011189337
Saved in:
Cover Image
Asymptotic behavior of the empirical conditional value-at-risk
Gao, Fuqing; Wang, Shaochen - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 345-352
We study asymptotic behavior of the empirical conditional value-at-risk (CVaR). In particular, the Berry–Essen bound, the law of iterated logarithm, the moderate deviation principle and the large deviation principle for the empirical CVaR are obtained. We also give some numerical examples.
Persistent link: https://www.econbiz.de/10010576726
Saved in:
Cover Image
Asymptotic behavior of the empirical conditional value-at-risk
Gao, Fuqing; Wang, Shaochen - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 345-353
Persistent link: https://www.econbiz.de/10009807361
Saved in:
Cover Image
Asymptotic behavior of the empirical conditional value-at-risk
Gao, Fuqing; Wang, Shaochen - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 345-352
Persistent link: https://www.econbiz.de/10009404711
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...