Asymptotic behavior of the empirical conditional value-at-risk

作者：Gao, Fuqing^*; Wang, Shaochen

来源：Insurance: Mathematics and Economics , 2011, 49(3): 345-352.

DOI：10.1016/j.insmatheco.2011.05.007

• Conditional value-at-risk
• Berry-Essen bound
• Law of iterated logarithm
• Large deviation principle
• Moderate deviation principle

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.

• 出版日期2011-11
• 单位武汉大学