Bounds for the bias of the empirical CTE

DOI10.1016/j.insmatheco.2010.08.001zbMath1231.91231OpenAlexW2045831570MaRDI QIDQ661260

Nariankadu D. Shyamalkumar, Ralph P. Russo

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.08.001

zbMATH Keywords

conditional tail expectationempirical CTEtail vartvar

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Large Sample Behavior of the CTE and VaR Estimators under Importance Sampling

Cites Work

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