A confidence interval for tail conditional expectation via two-level simulation

Proceedings - Winter Simulation Conference

Volumn , Issue , 2007, Pages 949-957

  Lan, Hai ^a   Nelson, Barry L ^a   Staum, Jeremy ^a  

^a Northwestern University   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL DATA PROCESSING;

CONDITIONAL EXPECTATION; CONFIDENCE INTERVAL; EMPIRICAL LIKELIHOOD; EXPECTED SHORTFALL; RISK FACTORS; RISK MEASURE; STATISTICAL THEORY;

RISK ASSESSMENT;

EID: 49749130433     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2007.4419691     Document Type: Conference Paper

References (8)

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3. Björk, T. 1998. Arbitrage Theory in Continuous Time. New York: Oxford University Press.
4. Lan, H., B. L. Nelson, and J. Staum. 2007. Two-level simulations for risk management. In Proceedings of the 2007 INFORMS Simulation Society Research Workshop, ed. S. Chick, C.-H. Chen, S. Henderson, and E. Yücesan, 102-107.
5. Lee, S.-H. 1998. Monte Carlo computation of conditional expectation quantiles. Dissertation, Dept. of Operations Research, Stanford University.
6. Lesnevski, V., B. L. Nelson, and J. Staum. 2006. An adaptive procedure for estimating coherent risk measures based on generalized scenarios. Working Paper 06-05, Dept. of Industrial Engineering and Management Sciences, Northwestern University.
7. Manistre, B. J., and G. H. Hancock. 2005. Variance of the CTE estimator. North American Actuarial Journal 9: 129-154.
8. Owen, A. B. 2001. Empirical Likelihood. New York: Chapman & Hall/CRC.