Abstract
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.
Volume
49
Page
345–352
Number
3
Year
2011
Categories
New Risk Measures
Publications
Insurance: Mathematics and Economics