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Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

Puccetti, Giovanni; Wang, Bin; Wang, Ruodu - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 821-828

Persistent link: https://www.econbiz.de/10010227817

Bounds for functions of dependent risks

Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352

Persistent link: https://www.econbiz.de/10003380013

Composite Bernstein copulas

Yang, Jingping; Chen, Zhijin; Wang, Fang; Wang, Ruodu - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 445-475

Persistent link: https://www.econbiz.de/10011312277

Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient

Cui, Zhenyu; Liu, Yanchu; Wang, Ruodu - 2021

We theoretically compare variances between the Infinitesimal Perturbation Analysis (IPA) estimator and the Likelihood Ratio (LR) estimator to Monte Carlo gradient for stochastic systems. The conditions proposed in [Cui et al., 2020] when the IPA estimator has a smaller variance can yield sharper...

Persistent link: https://www.econbiz.de/10013220887