Asymptotics of the risk concentration based on the tail distortion risk measure
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Publication:2439644
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
asymptotics; regular variation; second-order regular variation; tail distortion risk measure; risk concentration
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
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