Second-order expansions of the risk concentration based on CTE
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Publication:2445358
DOI10.1016/j.insmatheco.2012.07.002zbMath1284.91524OpenAlexW1983077565MaRDI QIDQ2445358
Tiantian Mao, Taizhong Hu, Wenhua Lv
Publication date: 14 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.002
regular variationsecond-order approximationsecond-order regular variationdiversification benefitasymptotical smoothness
Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Portfolio theory (91G10)
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