Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques

DOI10.1080/00949655.2017.1391255OpenAlexW2767161883WikidataQ115551882 ScholiaQ115551882MaRDI QIDQ4960550

Jun-yong Li, Quansheng Gao, Kang Zhou

Publication date: 23 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2017.1391255

zbMATH Keywords

importance samplingkernel densityutility-based shortfall risk measures

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
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• Stochastic finance. An introduction in discrete time

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