Second-order properties of risk concentrations without the condition of asymptotic smoothness

DOI10.1007/S10687-012-0164-ZzbMath1284.91523OpenAlexW2030859768MaRDI QIDQ2443885

Tiantian Mao, Taizhong Hu

Publication date: 8 April 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-012-0164-z

zbMATH Keywords

regular variationsecond-order approximationvalue-at-risksecond-order regular variationconditional tail expectationdiversification benefitasymptotic smoothness

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Portfolio theory (91G10)

Related Items (15)

Diversification limit of quantiles under dependence uncertainty ⋮ ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS ⋮ Second-order asymptotics for convolution of distributions with light tails ⋮ Risk concentration under second order regular variation ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ Closure properties of the second-order regular variation under convolutions ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ Risk concentration based on expectiles for extreme risks under FGM copula ⋮ Second-order properties of tail probabilities of sums and randomly weighted sums ⋮ The closure property of 2RV under random sum ⋮ THE SECOND-ORDER REGULAR VARIATION OF ORDER STATISTICS ⋮ Second-order tail asymptotics of deflated risks ⋮ Second-order regular variation inherited from Laplace–Stieltjes transforms

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