Asymptotics for value at risk and conditional tail expectation of a portfolio loss

DOI10.1002/asmb.2561MaRDI QIDQ6579530

Yang Yang, Xin-Zhi Wang, Xiaonan Su

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

asymptoticsvalue at riskquasi-asymptotic independenceconditional tail expectationheavy tailed distribution

Mathematics Subject Classification ID

Statistics (62-XX)

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