Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation

DOI10.1080/03610926.2019.1584312MaRDI QIDQ5077233zbMATH OpenOpenAlexWikidataFDO

Authors Xiaoli Gan, Guo-Dong Xing

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1584312

zbMATH Keywords

regular variationvalue-at-riskmultivariate regular variationtail distortion risk measure

Mathematics Subject Classification ID

Statistics (62-XX) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 3716479 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A Universal Framework for Pricing Financial and Insurance Risks
• A characterization of multivariate regular variation.
• Decision principles derived from risk measures
• Dynamic capital allocation with distortion risk measures
• Extreme value theory. An introduction.
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Non-additive measure and integral
• Risk Measures and Comonotonicity: A Review
• Risk concentration and diversification: second-order properties
• Tail distortion risk and its asymptotic analysis
• Wang's capital allocation formula for elliptically contoured distributions.

Cited in

(13)

• Tail distortion risk and its asymptotic analysis
• First- and second-order asymptotics for the tail distortion risk measure of extreme risks
• Conditional excess risk measures and multivariate regular variation
• First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
• A note on asymptotic portfolio loss order of multivariate regularly varying risks
• Asymptotics for value at risk and conditional tail expectation of a portfolio loss
• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Tail distortion risk measure for portfolio with multivariate regularly variation
• Asymptotics of multivariate conditional risk measures for Gaussian risks
• Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
• Tail risk of multivariate regular variation
• Asymptotics of the risk concentration based on the tail distortion risk measure

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