Second order regular variation and conditional tail expectation of multiple risks

DOI10.1016/J.INSMATHECO.2011.08.013zbMath1228.91039OpenAlexW1978938524MaRDI QIDQ654832

Publication date: 21 December 2011

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.013

zbMATH Keywords

second order approximation asymptotic analysis value at risk conditional tail expectation sub-extremal multiple risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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