TY - GEN
T1 - An efficient simulation procedure for point estimation of expected shortfall
AU - Liu, Ming
AU - Nelson, Barry L.
AU - Staum, Jeremy
PY - 2010
Y1 - 2010
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=79951645943&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79951645943&partnerID=8YFLogxK
U2 - 10.1109/WSC.2010.5678977
DO - 10.1109/WSC.2010.5678977
M3 - Conference contribution
AN - SCOPUS:79951645943
SN - 9781424498666
T3 - Proceedings - Winter Simulation Conference
SP - 2821
EP - 2831
BT - Proceedings of the 2010 Winter Simulation Conference, WSC'10
T2 - 2010 43rd Winter Simulation Conference, WSC'10
Y2 - 5 December 2010 through 8 December 2010
ER -