Tail distortion risk and its asymptotic analysis

DOI10.1016/j.insmatheco.2012.03.010zbMath1284.91283MaRDI QIDQ2444711

Haijun Li, L. Zhu

Publication date: 10 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.03.010

zbMATH Keywords

regular variation; distortion risk measure; tail conditional expectation; tail risk

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

Related Items

Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation, First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks, What attitudes to risk underlie distortion risk measure choices?, Second-order asymptotics of the risk concentration of a portfolio with deflated risks, Nonparametric inference for distortion risk measures on tail regions, Tail distortion risk measure for portfolio with multivariate regularly variation, Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures, Asymptotics of the risk concentration based on the tail distortion risk measure, Asymptotic analysis of simultaneous damages in spatial Boolean models, Second-order tail asymptotics of deflated risks, Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses

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