Asymptotic risk decomposition for regularly varying distributions with tail dependence

DOI10.1016/j.amc.2022.127164OpenAlexW4224214003MaRDI QIDQ2141226

Jonas Šiaulys, Eglė Jaunė

Publication date: 23 May 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127164

zbMATH Keywords

regular variationtail dependencevalue at riskcapital allocationconditional tail expectationasymptotic risk decomposition

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Uses Software

• QRM

Cites Work

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