Tail asymptotic expansions for \(L\)-statistics
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Publication:477271
DOI10.1007/S11425-014-4841-ZzbMath1328.62084arXiv1402.6302OpenAlexW3103787534MaRDI QIDQ477271
Enkelejd Hashorva, Chengxiu Ling, Zuo Xiang Peng
Publication date: 3 December 2014
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.6302
value-at-risktail asymptoticssecond-order regular variationconditional tail expectationexcess return on capitallargest claims reinsuranceratio of risk measuresmoothly varying condition
Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)
Related Items (4)
Extremes for coherent risk measures ⋮ Complete asymptotic expansions for normal extremes ⋮ Second-order asymptotics for convolution of distributions with light tails ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks
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