Second-order properties of risk concentrations without the condition of asymptotic smoothness
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Publication:2443885
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- Second order regular variation and conditional tail expectation of multiple risks
Cites work
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Asymptotic expansions of convolutions of regularly varying distributions
- Coherent measures of risk
- Dependence structure of risk factors and diversification effects
- Extreme value theory. An introduction.
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- On optimal portfolio diversification with respect to extreme risks
- On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
- Properties of second-order regular variation and expansions for risk concentration
- Risk concentration and diversification: second-order properties
- Risk concentration of aggregated dependent risks: the second-order properties
- Second order regular variation and conditional tail expectation of multiple risks
- Second order subexponential distributions with finite mean and their applications to subordinated distributions
- Second-order expansions of the risk concentration based on CTE
- Second-order regular variation, convolution and the central limit theorem
- Tails of subordinated laws: The regularly varying case
Cited in
(22)- 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
- Risk concentration of aggregated dependent risks: the second-order properties
- Second-order expansions of the risk concentration based on CTE
- 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
- Diversification limit of quantiles under dependence uncertainty
- Closure properties of the second-order regular variation under convolutions
- Tail asymptotic expansions for \(L\)-statistics
- Properties of second-order regular variation and expansions for risk concentration
- Risk concentration based on expectiles for extreme risks under FGM copula
- Second-order properties of tail probabilities of sums and randomly weighted sums
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS
- Asymptotics of sum of heavy-tailed risks with copulas
- Second order regular variation and conditional tail expectation of multiple risks
- Risk concentration and diversification: second-order properties
- Second-order regular variation and second-order approximation of Hawkes processes
- Second-order asymptotics for randomly weighted sums of dependent subexponential random variables with applications to insurance
- Second-order asymptotics for convolution of distributions with light tails
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