Tail distortion risk measure for portfolio with multivariate regularly variation

DOI10.1007/s40304-020-00223-6zbMath1492.62164OpenAlexW3151864917MaRDI QIDQ2141740

Yu Chen, Weiping Zhang, Jiayi Wang

Publication date: 25 May 2022

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40304-020-00223-6

zbMATH Keywords

multivariate regular variationbackground risk modeltail distortion risk measure

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70)

Related Items

Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses

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