Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall

arXiv2311.15333MaRDI QIDQ6460815

Stéphane Crépey, Azar Louzi, Noufel Frikha, Gilles Pagès

Publication date: 26 November 2023

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05) Stochastic approximation (62L20) Actuarial science and mathematical finance (91Gxx)

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