First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks
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Publication:5249207
DOI10.1080/03610926.2012.751116zbMath1310.91079OpenAlexW2314340799MaRDI QIDQ5249207
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
asymptoticsregular variationextended regular variationsecond-order conditionmax-domain of attractiontail distortion risk measure
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Related Items (3)
Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks
Cites Work
- Dynamic capital allocation with distortion risk measures
- Wang's capital allocation formula for elliptically contoured distributions.
- Remarks on quantiles and distortion risk measures
- 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
- Risk Measures and Comonotonicity: A Review
- A Universal Framework for Pricing Financial and Insurance Risks
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