Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model (Q5087951)
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scientific article; zbMATH DE number 7552588
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model |
scientific article; zbMATH DE number 7552588 |
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Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model (English)
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4 July 2022
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extreme risk index
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multivariate regular variation
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second-order regular variation
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tail distortion risk measure
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