First- and second-order asymptotics for the tail distortion risk measure of extreme risks

DOI10.1080/03610926.2012.751116MaRDI QIDQ5249207zbMATH OpenOpenAlexFDO

Authors Fan Yang

Publication date 29 April 2015

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

Full work available at URL https://doi.org/10.1080/03610926.2012.751116

zbMATH Keywords

asymptoticsextended regular variationmax-domain of attractionregular variationsecond-order conditiontail distortion risk measure

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Asymptotics of the risk concentration based on the tail distortion risk measure
• Tail distortion risk and its asymptotic analysis
• Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation
• Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
• Nonparametric inference for distortion risk measures on tail regions

Cites work

• A Universal Framework for Pricing Financial and Insurance Risks
• Dynamic capital allocation with distortion risk measures
• On the Haezendonck-Goovaerts risk measure for extreme risks
• Remarks on quantiles and distortion risk measures
• Risk Measures and Comonotonicity: A Review
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Tail distortion risk and its asymptotic analysis
• Wang's capital allocation formula for elliptically contoured distributions.

Cited in

(11)

• Second-order asymptotics of the risk concentration of a portfolio with deflated risks
• Nonparametric inference for distortion risk measures on tail regions
• Asymptotics of the risk concentration based on the tail distortion risk measure
• Tail distortion risk and its asymptotic analysis
• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• Tail asymptotic expansions for \(L\)-statistics
• Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation
• Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Asymptotics for credit portfolio losses due to defaults in a multi-sector model
• Estimation of generalized tail distortion risk measures with applications in reinsurance

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