期刊
STATISTICS & PROBABILITY LETTERS
卷 134, 期 -, 页码 122-127出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.spl.2017.10.019
关键词
Sensitivity analysis; Quantile oriented indices; Risk measures
This paper concerns quantile oriented sensitivity analysis (qosa). We rewrite the corresponding indices using the Conditional Tail Expectation risk measure. Then, we use this new expression to built estimators of qosa indices. (C) 2017 Elsevier B.V. All rights reserved.
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