Second-order tail asymptotics of deflated risks

DOI10.1016/j.insmatheco.2014.04.003zbMath1304.91110OpenAlexW1977816187MaRDI QIDQ2513459

Enkelejd Hashorva, Chengxiu Ling, Zuo Xiang Peng

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.04.003

zbMATH Keywords

value-at-riskrisk aggregationsecond-order regular variationrandom deflationestimation of tail probability

Mathematics Subject Classification ID

Related Items (3)

Tail asymptotics of generalized deflated risks with insurance applications ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Tail asymptotic expansions for \(L\)-statistics

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