A confidence interval for tail conditional expectation via two-level simulation

Hai Lan*, Barry L Nelson, Jeremy C Staum

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

9 Scopus citations

Abstract

We develop and evaluate a two-level simulation procedure that produces a confidence interval for tail conditional expectation, otherwise known as conditional tail expectation. This risk measure is closely related to conditional value-atrisk, expected shortfall, and worst conditional expectation. The outer level of simulation generates risk factors and the inner level estimates each expected loss conditional on the risk factor. Our procedure uses the statistical theory of empirical likelihood to construct a confidence interval, and it uses tools from the ranking-and-selection literature to make the simulation efficient.

Original languageEnglish (US)
Title of host publicationProceedings of the 2007 Winter Simulation Conference, WSC
Pages949-957
Number of pages9
DOIs
StatePublished - Dec 1 2007
Event2007 Winter Simulation Conference, WSC - Washington, DC, United States
Duration: Dec 9 2007Dec 12 2007

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Other

Other2007 Winter Simulation Conference, WSC
CountryUnited States
CityWashington, DC
Period12/9/0712/12/07

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

Fingerprint Dive into the research topics of 'A confidence interval for tail conditional expectation via two-level simulation'. Together they form a unique fingerprint.

Cite this