Name
Abstract | ||
|---|---|---|
In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and selection. Here it is the best system's expected value and not identity that is of interest. We explore the correctness and computational efficiency of simulated confidence intervals for a maximum of several expectations. |
Year | DOI | Venue |
|---|---|---|
2004 | 10.1109/WSC.2004.1371501 | Simulation Conference, 2004. Proceedings of the 2004 Winter |
Keywords | Field | DocType |
financial management,probability,risk management,coherent risk measure simulation,financial risk management,probability measures | Coherent risk measure,Spectral risk measure,Expected loss,Simulation,Computer science,Distortion risk measure,Dynamic risk measure,Deviation risk measure,Statistics,Reliability engineering,Entropic value at risk,Expected shortfall | Conference |
Volume | ISBN | Citations |
2 | 0-7803-8786-4 | 2 |
PageRank | References | Authors |
0.72 | 2 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Vadim Lesnevski | 1 | 2 | 0.72 |
| Barry L. Nelson | 2 | 1876 | 257.62 |
| Jeremy Staum | 3 | 76 | 13.25 |