Asymptotics of the loss-based tail risk measures in the presence of extreme risks

DOI10.1007/S13385-023-00361-5zbMATH Open1537.91262MaRDI QIDQ6550185FDOQ6550185

Authors: Jiajun Liu, Tomer Shushi 

Publication date: 4 June 2024

Published in: European Actuarial Journal (Search for Journal in Brave)

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zbMATH Keywords

asymptoticsdependenceextreme value theoryregular variationloss function

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Extreme value theory; extremal stochastic processes (60G70) Statistical methods; risk measures (91G70) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

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Cited In (2)

• Asymptotic results on tail moment for light-tailed risks
• Tail risk driven by investment losses and exogenous shocks

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