Risk concentration under second order regular variation

DOI10.1007/s10687-020-00382-3zbMath1467.60037arXiv1704.02609MaRDI QIDQ2198597

Marie F. Kratz, Bikramjit Das

Publication date: 10 September 2020

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.02609

zbMATH Keywords

rate of convergence; value-at-risk; asymptotic theory; diversification benefit; multivariate second order regular variation; risk concentration

Mathematics Subject Classification ID

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

60F05: Central limit and other weak theorems

60G70: Extreme value theory; extremal stochastic processes

60E05: Probability distributions: general theory