Second-order expansions of the risk concentration based on CTE

DOI10.1016/J.INSMATHECO.2012.07.002MaRDI QIDQ2445358zbMATH OpenOpenAlexFDO

Authors Tiantian Mao, Wenhua Lv, Taizhong Hu

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

asymptotical smoothnessdiversification benefitregular variationsecond-order approximationsecond-order regular variation

Mathematics Subject Classification ID

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

Recommendations

• Risk concentration under second order regular variation
• Risk concentration of aggregated dependent risks: the second-order properties
• Properties of second-order regular variation and expansions for risk concentration
• Second-order risk constraints in decision analysis
• Second-order properties of risk concentrations without the condition of asymptotic smoothness
• Risk concentration and diversification: second-order properties
• Second order entropy approach for risk models involving truncation and censoring
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Second-order approximation of dynamic models with time-varying risk

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
• EVT-based estimation of risk capital and convergence of high quantiles
• Extreme value theory. An introduction.
• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 1026035 (Why is no real title available?)
• 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
• Properties of second-order regular variation and expansions for risk concentration
• Risk concentration and diversification: second-order properties
• Second order regular variation and conditional tail expectation of multiple risks
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

Cited in

(16)

• 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
• Asymptotics of the risk concentration based on the tail distortion risk measure
• Second-order properties of risk concentrations without the condition of asymptotic smoothness
• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• Closure properties of the second-order regular variation under convolutions
• 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
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• The Iterated Cte
• Second order regular variation and conditional tail expectation of multiple risks
• Risk concentration and diversification: second-order properties
• Tail similarity

This page was built for publication: Second-order expansions of the risk concentration based on CTE

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2445358)