Asymptotic behavior of the empirical conditional value-at-risk

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.

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Year of publication:	2011
Authors:	Gao, Fuqing ; Wang, Shaochen
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 49.2011, 3, p. 345-352
Publisher:	Elsevier
Subject:	Conditional value-at-risk \| Berry–Essen bound \| Law of iterated logarithm \| Large deviation principle \| Moderate deviation principle

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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