Asymptotics of the loss-based tail risk measures in the presence of extreme risks

DOI10.1007/s13385-023-00361-5zbMath1537.91262MaRDI QIDQ6550185

Jiajun Liu, Tomer Shushi

Publication date: 4 June 2024

Published in: European Actuarial Journal (Search for Journal in Brave)

zbMATH Keywords

asymptoticsregular variationloss functionextreme value theorydependence

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Actuarial mathematics (91G05)

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