Second-order properties of risk concentrations without the condition of asymptotic smoothness
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Publication:2443885
DOI10.1007/s10687-012-0164-zzbMath1284.91523MaRDI QIDQ2443885
Publication date: 8 April 2014
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-012-0164-z
regular variation; second-order approximation; value-at-risk; second-order regular variation; conditional tail expectation; diversification benefit; asymptotic smoothness
Related Items
ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS, THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS, Diversification limit of quantiles under dependence uncertainty, Tail asymptotic expansions for \(L\)-statistics, Risk concentration based on expectiles for extreme risks under FGM copula, Second-order properties of tail probabilities of sums and randomly weighted sums, Second-order asymptotics for convolution of distributions with light tails, Second-order asymptotics of the risk concentration of a portfolio with deflated risks, Risk concentration under second order regular variation, The closure property of 2RV under random sum, Second-order tail asymptotics of deflated risks, Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses, Second-order regular variation inherited from Laplace–Stieltjes transforms, Closure properties of the second-order regular variation under convolutions
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