Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation

DOI10.1080/03610926.2019.1584312OpenAlexW2921828123WikidataQ128225116 ScholiaQ128225116MaRDI QIDQ5077233

Xiaoli Gan, Guo-Dong Xing

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1584312

zbMATH Keywords

regular variationvalue-at-riskmultivariate regular variationtail distortion risk measure

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics (62-XX)

Related Items (2)

Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation

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