Measuring the tail risk: an asymptotic approach
DOI10.1016/j.jmaa.2018.03.019zbMath1388.62140OpenAlexW2731166071WikidataQ130098774 ScholiaQ130098774MaRDI QIDQ1746754
Jinzhu Li, Alexandru V. Asimit
Publication date: 25 April 2018
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/19009/1/Asimit_Li_2017_Expected_Loss_final_SSRN_version.pdf
sensitivity analysisregular variationrapid variationasymptotic dependence/ independencetail risk measure
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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