Probability theory
About the conditional value at risk of partial sums
[Valeur à risque conditionnelle de sommes de variables aléatoires réelles]

Présenté par : the Editorial Board

Rio, Emmanuel1
1 Université de Versailles, Laboratoire de mathématiques de Versailles, UMR 8100 CNRS, bâtiment Fermat, 45, avenue des États-Unis, 78035 Versailles, France
Comptes Rendus. Mathématique, Tome 355 (2017) no. 11, pp. 1190-1195.

Dans cette note, nous donnons des résultats d'approximation normale pour la CVaR d'une somme de variables aléatoires réelles satisfaisant des hypothèses de moments. Ces résultats sont fondés sur des bornes de type Berry–Esseen pour des coûts de transport dans le théorème limite central ainsi que sur des extensions des inégalités de Cantelli à la CVaR.

In this note, we give normal approximation results for the conditional value at risk (CVaR) of partial sums of random variables satisfying moment assumptions. These results are based on Berry–Esseen-type bounds for transport costs in the central limit theorem and extensions of Cantelli's inequalities to the CVaR.

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DOI : 10.1016/j.crma.2017.10.008
Rio, Emmanuel 1

1 Université de Versailles, Laboratoire de mathématiques de Versailles, UMR 8100 CNRS, bâtiment Fermat, 45, avenue des États-Unis, 78035 Versailles, France 
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Rio, Emmanuel. About the conditional value at risk of partial sums. Comptes Rendus. Mathématique, Tome 355 (2017) no. 11, pp. 1190-1195. doi : 10.1016/j.crma.2017.10.008. http://www.numdam.org/articles/10.1016/j.crma.2017.10.008/

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