First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
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Publication:2220430
DOI10.1007/s11424-020-8037-zzbMath1455.91241OpenAlexW3047261236MaRDI QIDQ2220430
Publication date: 22 January 2021
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-020-8037-z
asymptoticsregular variationvalue-at-riskmultivariate regular variationsecond-order regular variationspectral risk measure
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