The second-order version of Karamata's theorem with applications

DOI10.1016/j.spl.2013.02.006zbMath1287.60067OpenAlexW2070772665MaRDI QIDQ385111

Xuan Leng, Taizhong Hu, Xiaoqing Pan

Publication date: 29 November 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.02.006

zbMATH Keywords

regular variationextreme value theoryconditional momentKaramata's theoremsecond-order regular variation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (2)

SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL ⋮ Second-order regular variation inherited from Laplace–Stieltjes transforms

Cites Work

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• Second order regular variation and conditional tail expectation of multiple risks
• Second-order regular variation, convolution and the central limit theorem
• Conditions based on conditional moments for max-stable limit laws
• Extreme value behavior of aggregate dependent risks
• On Smooth Statistical Tail Functionals
• PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION
• Heavy-Tail Phenomena

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