First- and second-order asymptotics for the tail distortion risk measure of extreme risks
DOI10.1080/03610926.2012.751116zbMATH Open1310.91079OpenAlexW2314340799MaRDI QIDQ5249207FDOQ5249207
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
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
asymptoticsregular variationextended regular variationsecond-order conditionmax-domain of attractiontail distortion risk measure
Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Remarks on quantiles and distortion risk measures
- Risk Measures and Comonotonicity: A Review
- On the Haezendonck-Goovaerts risk measure for extreme risks
- Tail distortion risk and its asymptotic analysis
- Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
- A Universal Framework for Pricing Financial and Insurance Risks
- Dynamic capital allocation with distortion risk measures
- Wang's capital allocation formula for elliptically contoured distributions.
Cited In (10)
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Nonparametric inference for distortion risk measures on tail regions
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
- Tail behavior of discounted portfolio loss under upper tail comonotonicity
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Tail asymptotic expansions for \(L\)-statistics
- Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation
- Asymptotics of the risk concentration based on the tail distortion risk measure
- Second-order asymptotics of the risk concentration of a portfolio with deflated risks
- Tail distortion risk and its asymptotic analysis
This page was built for publication: First- and second-order asymptotics for the tail distortion risk measure of extreme risks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5249207)
