Tail behavior of discounted portfolio loss under upper tail comonotonicity

DOI10.3934/jimo.2023125OpenAlexW4386972849MaRDI QIDQ6189846

Shaoying Chen, Yang Yang, Tongxin Bian

Publication date: 5 February 2024

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2023125

zbMATH Keywords

asymptoticsregular variationupper tail comonotonicitydiscounted portfolio lossmaximum domain of attraction of extreme value distributions

Mathematics Subject Classification ID

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