Asymptotics of the risk concentration based on the tail distortion risk measure (Q2439644): Difference between revisions

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+Properties of distortion risk measures
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+Q4726487
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+Q5485944
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+EVT-based estimation of risk capital and convergence of high quantiles
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+Risk concentration and diversification: second-order properties
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+Risk Measures and Comonotonicity: A Review
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+Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
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+Second order regular variation and conditional tail expectation of multiple risks
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+Second-order expansions of the risk concentration based on CTE
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+Heavy-Tail Phenomena
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+Q3996430
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+Tail distortion risk and its asymptotic analysis
@@ Property / cites work: Tail distortion risk and its asymptotic analysis / rank @@
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