A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2017; you can also visit the original URL.
The file type is application/pdf
.
An efficient simulation procedure for point estimation of expected shortfall
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
doi:10.1109/wsc.2010.5678977
dblp:conf/wsc/LiuNS10a
fatcat:etbwzxjztjejhdnqnfwrfienwm