Second order regular variation and conditional tail expectation of multiple risks
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Publication:654832
DOI10.1016/J.INSMATHECO.2011.08.013zbMATH Open1228.91039OpenAlexW1978938524MaRDI QIDQ654832FDOQ654832
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Cited In (66)
- Estimation of multivariate conditional-tail-expectation using Kendall's process
- Estimating the second-order parameter of regular variation and bias reduction in tail index estimation under random truncation
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Conditional excess risk measures and multivariate regular variation
- Gaussian approximation to the extreme value index estimator of a heavy-tailed distribution under random censoring
- Second-order expansions of the risk concentration based on CTE
- Second-order tail asymptotics of deflated risks
- First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Tails of higher-order moments with dominatedly varying summands
- Superquantile/CVaR risk measures: second-order theory
- Properties of second-order regular variation and expansions for risk concentration
- Dual representation of expectile-based expected shortfall and its properties
- Tail product-limit process for truncated data with application to extreme value index estimation
- Second-order regular variation inherited from Laplace-Stieltjes transforms
- Second-order properties of tail probabilities of sums and randomly weighted sums
- Closure properties of the second-order regular variation under convolutions
- Extremes for coherent risk measures
- The joint distribution of the sum and the maximum of heterogeneous exponential random variables
- The joint distribution of the sum and maximum of dependent Pareto risks
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- Tail distortion risk measure for portfolio with multivariate regularly variation
- The closure property of 2RV under random sum
- On the estimation of extreme directional multivariate quantiles
- Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
- ExpectHill estimation, extreme risk and heavy tails
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
- Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
- Asymptotic results on marginal expected shortfalls for dependent risks
- Operational risk quantified with spectral risk measures: a refined closed-form approximation
- Risk concentration under second order regular variation
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Where does the tail begin? An approach based on scoring rules
- Tail asymptotic expansions for \(L\)-statistics
- On the heavy-tail behavior of the distributionally robust newsvendor
- Second-order asymptotics for convolution of distributions with light tails
- Tail dependence functions of two classes of bivariate skew distributions
- Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
- Strength of tail dependence based on conditional tail expectation
- On automatic bias reduction for extreme expectile estimation
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
- Risk concentration based on expectiles for extreme risks under FGM copula
- Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
- Second-order properties of risk concentrations without the condition of asymptotic smoothness
- On the estimation of the variability in the distribution tail
- Multi-normex distributions for the sum of random vectors. Rates of convergence
- Kernel estimation of extreme regression risk measures
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- The second-order version of Karamata's theorem with applications
- 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
- Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
- Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data
- Asymptotic results on tail moment for light-tailed risks
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- Estimating the conditional tail expectation of randomly right-censored heavy-tailed data
- Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
- A parametric model for distributions with flexible behavior in both tails
- Asymptotic results on tail moment and tail central moment for dependent risks
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
- Assessing component reliability using lifetime data from systems
- THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS
- Estimation of the adjusted standard-deviatile for extreme risks
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