PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION

DOI10.1017/S0269964812000174zbMath1261.62043MaRDI QIDQ4902488

Taizhong Hu, Wenhua Lv, Tiantian Mao

Publication date: 15 January 2013

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (11)

The second-order version of Karamata's theorem with applications ⋮ ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS ⋮ Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ Multi-normex distributions for the sum of random vectors. Rates of convergence ⋮ Closure properties of the second-order regular variation under convolutions ⋮ Second-order properties of risk concentrations without the condition of asymptotic smoothness ⋮ Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Second-order expansions of the risk concentration based on CTE ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Dual representation of expectile-based expected shortfall and its properties ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall

Cites Work

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• Second order regular variation and conditional tail expectation of multiple risks
• Risk concentration and diversification: second-order properties
• Second-order regular variation, convolution and the central limit theorem
• SECOND ORDER REGULAR VARIATION AND ITS APPLICATIONS TO RATES OF CONVERGENCE IN EXTREME-VALUE DISTRIBUTION
• EVT-based estimation of risk capital and convergence of high quantiles
• Heavy-Tail Phenomena
• Asymptotic expansions of convolutions of regularly varying distributions

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