Risk concentration based on expectiles for extreme risks under FGM copula

DOI10.1016/j.insmatheco.2015.06.009zbMath1348.91175OpenAlexW1043144703MaRDI QIDQ495516

Tiantian Mao, Fan Yang

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.06.009

zbMATH Keywords

regular variationvalue-at-riskexpectilessecond-order regular variationFGM copula

Mathematics Subject Classification ID

Related Items (12)

Asymptotic analysis of portfolio diversification ⋮ Moments of discounted aggregate claims with dependence based on Spearman copula ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model ⋮ Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Multivariate extensions of expectiles risk measures ⋮ Extremes for multivariate expectiles ⋮ Tail expectile process and risk assessment ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall

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