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Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics [PDF]

open access: yesOperations Research, 2012
We discuss linear regression approaches to the estimation of law-invariant conditional risk measures. Two estimation procedures are considered and compared; one is based on residual analysis of the standard least-squares method, and the other is in the spirit of the M-estimation approach used in robust statistics.
So Yeon Chun   +2 more
exaly   +3 more sources

Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk

Insurance: Mathematics and Economics, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Liu, Haiyan, Mao, Tiantian
openaire   +1 more source

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