Tail distortion risk measure for portfolio with multivariate regularly variation
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Publication:2141740
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
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
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