Tail distortion risk measure for portfolio with multivariate regularly variation

DOI10.1007/s40304-020-00223-6zbMath1492.62164MaRDI QIDQ2141740

Yu Chen, Weiping Zhang, Jiayi Wang

Publication date: 25 May 2022

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40304-020-00223-6

zbMATH Keywords

multivariate regular variation; background risk model; tail distortion risk measure

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

60G70: Extreme value theory; extremal stochastic processes

Related Items

Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses

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