The second-order version of Karamata's theorem with applications

DOI10.1016/J.SPL.2013.02.006zbMATH Open1287.60067OpenAlexW2070772665MaRDI QIDQ385111FDOQ385111

Authors: Xuan Leng, Taizhong Hu, Xiaoqing Pan 

Publication date: 29 November 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.02.006

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zbMATH Keywords

extreme value theoryregular variationconditional momentKaramata's theoremsecond-order regular variation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Extreme value theory. An introduction.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Heavy-Tail Phenomena
• On Smooth Statistical Tail Functionals
• Second order regular variation and conditional tail expectation of multiple risks
• Extreme value behavior of aggregate dependent risks
• Second-order regular variation, convolution and the central limit theorem
• Conditions based on conditional moments for max-stable limit laws
• Properties of second-order regular variation and expansions for risk concentration

Cited In (9)

• Second order asymptotics for Krein indefinite multipliers with multiplicity two
• Second-order regular variation inherited from Laplace-Stieltjes transforms
• Variants of Karamata’s iteration theorem
• On second \(\kappa\)-variation
• SIMULTANEOUS CONFIDENCE BANDS FOR CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL
• Karamata theorem for regularly log-periodic functions
• About Karamata mean value theorem, some consequences and some stability results
• Higher-order representation of Karamata theorem
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models

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