Second-order expansions of the risk concentration based on CTE

DOI10.1016/j.insmatheco.2012.07.002zbMath1284.91524OpenAlexW1983077565MaRDI QIDQ2445358

Tiantian Mao, Taizhong Hu, Wenhua Lv

Publication date: 14 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.002

zbMATH Keywords

regular variationsecond-order approximationsecond-order regular variationdiversification benefitasymptotical smoothness

Mathematics Subject Classification ID

Related Items (10)

Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ Asymptotics of the risk concentration based on the tail distortion risk measure ⋮ Closure properties of the second-order regular variation under convolutions ⋮ Second-order properties of risk concentrations without the condition of asymptotic smoothness ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ Risk concentration based on expectiles for extreme risks under FGM copula ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ The closure property of 2RV under random sum ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation

Cites Work

• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• Second order regular variation and conditional tail expectation of multiple risks
• Risk concentration and diversification: second-order properties
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Coherent Measures of Risk
• EVT-based estimation of risk capital and convergence of high quantiles
• PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Asymptotic expansions of convolutions of regularly varying distributions
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