Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
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Publication:5087951
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
multivariate regular variationsecond-order regular variationtail distortion risk measureextreme risk index
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Cites Work
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