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Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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Nonasymptotic convergence rates for the plug-in estimation of risk measures
Bartl, Daniel; Tangpi, Ludovic - In: Mathematics of operations research 48 (2023) 4, pp. 2129-2155
Persistent link: https://www.econbiz.de/10014437818
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Computation and asymptotic properties of estimated coherent risk measures
Miller, D. J.; Kim, M. - In: Computational finance and its applications III : …, (pp. 175-184). 2008
Persistent link: https://www.econbiz.de/10003713310
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A comparison of expected shortfall estimation models
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
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Risk measures in optimization problems via empirical estimates
Kaňková, Vlasta - In: Czech economic review : acta Universitatis Carolinae … 7 (2013) 3, pp. 162-177
Persistent link: https://www.econbiz.de/10010341116
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Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
Ahn, Jae Youn; Shyamalkumar, Nariankadu D. - In: Insurance / Mathematics & economics 55 (2014), pp. 78-90
Persistent link: https://www.econbiz.de/10010366204
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Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
Tang, Qihe; Yang, Fan - In: Insurance / Mathematics & economics 59 (2014), pp. 311-320
Persistent link: https://www.econbiz.de/10010469980
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Inference for intermediate Haezendonck-Goovaerts risk measure
Wang, Xing; Peng, Liang - In: Insurance / Mathematics & economics 68 (2016), pp. 231-240
Persistent link: https://www.econbiz.de/10011493849
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Consistency of Risk Measure Estimates
Davis, Mark - 2013
Recently there has been renewed debate about the relative merits of VaR and CVaR as measures of financial risk. VaR is … not coherent and does not quantify the risk beyond VaR, while CVaR shows some computational instabilities and is not … view of probability forecasting or Dawid's 'prequential statistics.' We introduce a concept of 'consistency' of a risk …
Persistent link: https://www.econbiz.de/10013074242
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Using model averaging to determine suitable risk measure estimates
Miljkovic, Tatjana; Grün, Bettina - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 562-579
Persistent link: https://www.econbiz.de/10013167024