Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model

DOI10.1080/03610918.2018.1485945OpenAlexW2903516039MaRDI QIDQ5087951

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Publication date: 4 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1485945

zbMATH Keywords

multivariate regular variationsecond-order regular variationtail distortion risk measureextreme risk index

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Related Items (1)

Tail distortion risk measure for portfolio with multivariate regularly variation

Cites Work

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• Multivariate extremes, aggregation and dependence in elliptical distributions
• Asymptotic Analysis of Multivariate Tail Conditional Expectations
• Heavy-Tail Phenomena
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