Asymptotic behavior of the empirical conditional value-at-risk

Fuqing Gao and Shaochen Wang

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 345-352

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.

Keywords: Conditional value-at-risk; Berry–Essen bound; Law of iterated logarithm; Large deviation principle; Moderate deviation principle (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:345-352

DOI: 10.1016/j.insmatheco.2011.05.007

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