Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling
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Publication:5168709
DOI10.1080/10920277.2011.10597627zbMath1291.91087OpenAlexW2138596246MaRDI QIDQ5168709
Nariankadu D. Shyamalkumar, Jae Youn Ahn
Publication date: 19 July 2014
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2011.10597627
Related Items (4)
Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals ⋮ A Tutorial on Quantile Estimation via Monte Carlo ⋮ Estimation of multivariate conditional-tail-expectation using Kendall's process ⋮ Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
Uses Software
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