Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
From MaRDI portal
Publication:6171953
DOI10.1016/j.insmatheco.2023.05.001zbMath1520.91344MaRDI QIDQ6171953
Tiantian Mao, Gilles Stupfler, Fan Yang
Publication date: 18 July 2023
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
estimationasymptotic expansionsheavy tailsextreme value statisticsgeneralized shortfall risk measure
Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)
Cites Work
- Unnamed Item
- Unnamed Item
- Extreme quantile estimation for dependent data, with applications to finance
- Asymmetric Least Squares Estimation and Testing
- Stochastic finance. An introduction in discrete time.
- Strength of tail dependence based on conditional tail expectation
- Risk concentration based on expectiles for extreme risks under FGM copula
- Second order regular variation and conditional tail expectation of multiple risks
- On tail index estimation using dependent data
- Advances in prospect theory: cumulative representation of uncertainty
- A simple general approach to inference about the tail of a distribution
- Risk measures based on behavioural economics theory
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Generalized quantiles as risk measures
- Tail expectile process and risk assessment
- Pricing insurance contracts under cumulative prospect theory
- On the Haezendonck-Goovaerts risk measure for extreme risks
- Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
- Linear cumulative prospect theory with applications to portfolio selection and insurance demand
- Mean-Value Principle under Cumulative Prospect Theory
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Estimation of Tail Risk Based on Extreme Expectiles
- PROPERTIES OF SECOND-ORDER REGULAR VARIATION AND EXPANSIONS FOR RISK CONCENTRATION
- GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
- Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
This page was built for publication: Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks