Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation (Q5077233)
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scientific article; zbMATH DE number 7528718
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| English | Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation |
scientific article; zbMATH DE number 7528718 |
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Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation (English)
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18 May 2022
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tail distortion risk measure
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value-at-risk
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regular variation
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multivariate regular variation
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0.9043504595756532
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0.8476481437683105
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0.8449882864952087
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0.8184375166893005
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0.8175939917564392
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