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Deviation inequalities for an estimator of the conditional value-at-risk |
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| Authors: | Ying Wang Fuqing Gao |
| Affiliation: | a Institute of Applied Mathematics, AMSS, CAS, Beijing 100190, China b School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China |
| Abstract: | In this paper, we present a deviation inequality for a common estimator of the conditional value-at-risk for bounded random variables. The result improves a deviation inequality which is obtained by Brown [D.B. Brown, Large deviations bounds for estimating conditional value-at-risk, Operations Research Letters 35 (2007) 722-730]. |
| Keywords: | Conditional value-at-risk Deviation inequality Estimator |
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