First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks (Q5249207): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/03610926.2012.751116
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+W2314340799
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@@ Property / cites work @@
+Remarks on quantiles and distortion risk measures
@@ Property / cites work: Remarks on quantiles and distortion risk measures / rank @@
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+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / rank @@
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+Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
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+On the Haezendonck-Goovaerts risk measure for extreme risks
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+Dynamic capital allocation with distortion risk measures
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+Wang's capital allocation formula for elliptically contoured distributions.
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+A Universal Framework for Pricing Financial and Insurance Risks
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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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