Integrated assessment models that combine geophysics and economics features are often used to evaluate and compare global warming policies. Because there are typically profound uncertainties in these models, a simulation approach is often used. This approach requires the distribution of the...

Conditional value at risk (CVaR) is both a coherent risk measure and a natural risk statistic. It is often used to measure the risk associated with large losses. In this paper, we study how to estimate the sensitivities of CVaR using Monte Carlo simulation. We first prove that the CVaR...