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Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall


Authors: Zhijian He and Xiaoqun Wang
Journal: Math. Comp. 90 (2021), 303-319
MSC (2010): Primary 65D30, 65C05
DOI: https://doi.org/10.1090/mcom/3555
Published electronically: July 20, 2020
MathSciNet review: 4166462
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Abstract: Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo methods. This paper focuses on the use of the quasi-Monte Carlo (QMC) method, whose convergence rate is asymptotically better than Monte Carlo in the numerical integration. We first prove the convergence of QMC-based quantile estimates under very mild conditions, and then establish a deterministic error bound of $ O(N^{-1/d})$ for the quantile estimates, where $ d$ is the dimension of the QMC point sets used in the simulation and $ N$ is the sample size. Under certain conditions, we show that the mean squared error (MSE) of the randomized QMC estimate for expected shortfall is $ o(N^{-1})$. Moreover, under stronger conditions the MSE can be improved to $ O(N^{-1-1/(2d-1)+\epsilon })$ for arbitrarily small $ \epsilon >0$.


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Additional Information

Zhijian He
Affiliation: School of Mathematics, South China University of Technology, Guangzhou 510641, China
MR Author ID: 1056493
Email: hezhijian@scut.edu.cn

Xiaoqun Wang
Affiliation: Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China
Email: wangxiaoqun@mail.tsinghua.edu.cn

DOI: https://doi.org/10.1090/mcom/3555
Keywords: Quasi-Monte Carlo method, quantile, value-at-risk, expected shortfall, conditional value-at-risk
Received by editor(s): May 21, 2019
Received by editor(s) in revised form: January 5, 2020, and April 18, 2020
Published electronically: July 20, 2020
Additional Notes: This work was supported by the National Science Foundation of China (No. 71601189), the Fundamental Research Funds for the Central Universities (No. 2019MS106), the Research Funds of South China University of Technology (No. D6191160), and the National Key R&D Program of China (No. 2016QY02D0301).
Article copyright: © Copyright 2020 American Mathematical Society