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Utility-based shortfall risk: Efficient computations via Monte Carlo - MaRDI portal

Utility-based shortfall risk: Efficient computations via Monte Carlo

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Publication:3120078

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DOI10.1002/nav.21814zbMath1419.91657OpenAlexW2903332242WikidataQ128875199 ScholiaQ128875199MaRDI QIDQ3120078

Zhaolin Hu, Da-Li Zhang

Publication date: 1 March 2019

Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nav.21814

zbMATH Keywords

simulation asymptotic normality convex risk measure sample average approximation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15) Credit risk (91G40)

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