Abstract
In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and selection. Here it is the best system's expected value and not identity that is of interest. We explore the correctness and computational efficiency of simulated confidence intervals for a maximum of several expectations.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1579-1584 |
| Number of pages | 6 |
| Journal | Proceedings - Winter Simulation Conference |
| Volume | 2 |
| State | Published - 2004 |
| Event | Proceedings of the 2004 Winter Simulation Conference - Washington, DC, United States Duration: Dec 5 2004 → Dec 8 2004 |
ASJC Scopus subject areas
- Software
- Modeling and Simulation
- Computer Science Applications