An adaptive procedure for estimating coherent risk measures based on generalized scenarios

Vadim Lesnevski*, Barry L Nelson, Jeremy Staum

*Corresponding author for this work

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

Abstract

Coherent risk measures based on generalized scenarios can be viewed as estimating the maximum expected value from among a collection of simulated "systems." We present a procedure for generating a fixed-width confidence interval for this coherent risk measure. The procedure improves upon previous methods by being reliably efficient for simulation of generalized scenarios and portfolios with heterogeneous characteristics.

Original languageEnglish (US)
Title of host publicationProceedings of the 2006 Winter Simulation Conference, WSC
Pages733-740
Number of pages8
DOIs
StatePublished - Dec 1 2006
Event2006 Winter Simulation Conference, WSC - Monterey, CA, United States
Duration: Dec 3 2006Dec 6 2006

Other

Other2006 Winter Simulation Conference, WSC
CountryUnited States
CityMonterey, CA
Period12/3/0612/6/06

ASJC Scopus subject areas

  • Engineering(all)

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