An efficient simulation procedure for point estimation of expected shortfall

Ming Liu, Barry L. Nelson, Jeremy Staum
2010 Proceedings of the 2010 Winter Simulation Conference  
We present a computationally efficient simulation procedure for point estimation of expected shortfall. The procedure applies tools for ranking and selection to allocate more computational resources to estimation of the largest losses, which are those that affect expected shortfall. Given a fixed computational budget, our procedure estimates expected shortfall with a much lower mean squared error than a standard simulation procedure and much more precisely than an existing interval estimation
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doi:10.1109/wsc.2010.5678977 dblp:conf/wsc/LiuNS10a fatcat:etbwzxjztjejhdnqnfwrfienwm