Second-order expansions of the risk concentration based on CTE

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

zbMATH Keywords

regular variationsecond-order approximationsecond-order regular variationdiversification benefitasymptotical smoothness

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Portfolio theory (91G10)

Related Items

Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses, Asymptotics of the risk concentration based on the tail distortion risk measure, Closure properties of the second-order regular variation under convolutions, Second-order properties of risk concentrations without the condition of asymptotic smoothness, Second-order asymptotics of the risk concentration of a portfolio with deflated risks, 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, The closure property of 2RV under random sum, Operational risk quantified with spectral risk measures: a refined closed-form approximation

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