A Tutorial on Quantile Estimation via Monte Carlo

DOI10.1007/978-3-030-43465-6_1OpenAlexW3021568715MaRDI QIDQ5117919

Hui Dong, Marvin K. Nakayama

Publication date: 26 August 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-43465-6_1

zbMATH Keywords

confidence intervalspercentilevalue-at-riskvariance-reduction techniques

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (1)

Risk-averse optimization of reward-based coherent risk measures

Cites Work

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