First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks

DOI10.1080/03610926.2012.751116zbMath1310.91079OpenAlexW2314340799MaRDI QIDQ5249207

Fan Yang

Publication date: 29 April 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.751116

zbMATH Keywords

asymptoticsregular variationextended regular variationsecond-order conditionmax-domain of attractiontail distortion risk measure

Mathematics Subject Classification ID

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

Related Items (3)

Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks

Cites Work

• Dynamic capital allocation with distortion risk measures
• Wang's capital allocation formula for elliptically contoured distributions.
• Remarks on quantiles and distortion risk measures
• On the Haezendonck-Goovaerts risk measure for extreme risks
• Tail distortion risk and its asymptotic analysis
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Risk Measures and Comonotonicity: A Review
• A Universal Framework for Pricing Financial and Insurance Risks

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