Asymptotics of the risk concentration based on the tail distortion risk measure

DOI10.1016/j.spl.2013.09.006zbMath1288.91178MaRDI QIDQ2439644

Xiaoqing Pan, Taizhong Hu, Wenhua Lv

Publication date: 14 March 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.09.006

zbMATH Keywords

asymptotics; regular variation; second-order regular variation; tail distortion risk measure; risk concentration

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

91G10: Portfolio theory

Related Items

Analytical approximation for distorted expectations, Second-order asymptotics of the risk concentration of a portfolio with deflated risks, Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses

Cites Work

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