An efficient simulation procedure for point estimation of expected shortfall

Ming Liu*, Barry L Nelson, Jeremy C Staum

*Corresponding author for this work

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

4 Scopus citations

Abstract

We present a computationally efficient simulation procedure for point estimation of expected shortfall. The procedure applies tools for ranking and selection to allocate more computational resources to estimation of the largest losses, which are those that affect expected shortfall. Given a fixed computational budget, our procedure estimates expected shortfall with a much lower mean squared error than a standard simulation procedure and much more precisely than an existing interval estimation procedure.

Original languageEnglish (US)
Title of host publicationProceedings of the 2010 Winter Simulation Conference, WSC'10
Pages2821-2831
Number of pages11
DOIs
StatePublished - Dec 1 2010
Event2010 43rd Winter Simulation Conference, WSC'10 - Baltimore, MD, United States
Duration: Dec 5 2010Dec 8 2010

Publication series

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

Other

Other2010 43rd Winter Simulation Conference, WSC'10
CountryUnited States
CityBaltimore, MD
Period12/5/1012/8/10

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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