Tail distortion risk and its asymptotic analysis

DOI10.1016/j.insmatheco.2012.03.010zbMath1284.91283OpenAlexW2094662444MaRDI QIDQ2444711

Haijun Li, L. Zhu

Publication date: 10 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.03.010

zbMATH Keywords

regular variationdistortion risk measuretail conditional expectationtail risk

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures, Tail distortion risk measure for portfolio with multivariate regularly variation, What attitudes to risk underlie distortion risk measure choices?, Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation, Tail behavior of discounted portfolio loss under upper tail comonotonicity, Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses, Asymptotics of the risk concentration based on the tail distortion risk measure, Second-order asymptotics of the risk concentration of a portfolio with deflated risks, Asymptotic analysis of simultaneous damages in spatial Boolean models, Nonparametric inference for distortion risk measures on tail regions, Second-order tail asymptotics of deflated risks, First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks

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