2 papers
math.ST2026
Asymptotic Expansion and Bounds for the Bias of Empirical Tail Value-at-Risk
Nadezhda Gribkova, Jianxi Su, Mengqi Wang
Tail Value-at-Risk (TVaR) is a widely adopted risk measure playing a critically important role in both academic research and industry practice in insurance. In data applications, T…
math.ST2025
Fundamentals of non-parametric statistical inference for integrated quantiles
Nadezhda Gribkova, Mengqi Wang, RiÄardas Zitikis
We present a general non-parametric statistical inference theory for integrals of quantiles without assuming any specific sampling design or dependence structure. Technical conside…