This article is cited in 1 paper

Short Communications

On Two Estimates of a Risk Measure

D. V. Orlov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: This paper studies the asymptotic behavior of two different empirical estimates of a certain risk measure (minimal V@R), a functional having the form MINVR@$R_{\alpha}(X)=-E\min(X_1,\dots,X_{\alpha})$, where $X_1,\dots,X_{\alpha} $ are independent copies of $X$.

Keywords: weighted V@R, coherent risk measure, minimal V@R, limit theorems for $L$-statistics.

Received: 29.06.2007

DOI: 10.4213/tvp2491

 English version: Theory of Probability and its Applications, 2009, 53:1, 169–173

Bibliographic databases:

• 
• 
• 
•