Geodesic
On Two Estimates of a Risk Measure
Teoriâ veroâtnostej i ee primeneniâ, Tome 53 (2008) no. 1, pp. 168-172

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This paper studies the asymptotic behavior of two different empirical estimates of a certain risk measure (minimal V@R), a functional having the form MINVR@$R_{\alpha}(X)=-E\min(X_1,\dots,X_{\alpha})$, where $X_1,\dots,X_{\alpha} $ are independent copies of $X$.
Keywords: weighted V@R, coherent risk measure, minimal V@R, limit theorems for $L$-statistics. 
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     author = {D. V. Orlov},
     title = {On {Two} {Estimates} of a {Risk} {Measure}},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
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     volume = {53},
     number = {1},
     year = {2008},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2008_53_1_a10/}
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D. V. Orlov. On Two Estimates of a Risk Measure. Teoriâ veroâtnostej i ee primeneniâ, Tome 53 (2008) no. 1, pp. 168-172. http://geodesic.mathdoc.fr/item/TVP_2008_53_1_a10/