| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077211 | Insurance: Mathematics and Economics | 2011 | 8 Pages |
Abstract
We study asymptotic behavior of the empirical conditional value-at-risk (CVaR). In particular, the Berry-Essen bound, the law of iterated logarithm, the moderate deviation principle and the large deviation principle for the empirical CVaR are obtained. We also give some numerical examples.
⺠We study asymptotic behavior of the empirical conditional value-at-risk. ⺠The Berry-Essen bound and the law of iterated logarithm are obtained. ⺠The moderate deviation principle and the large deviation principle are established. ⺠We also give some numerical examples.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Fuqing Gao, Shaochen Wang,