Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model

Guo dong Xing, Xiaohu Li, Shanchao Yang

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

In order to conduct more precise quantitative risk management, we present the second-order asymptotics of tail distortion risk measure for the portfolio loss satisfying multivariate regular variation in terms of the notion of second-order regular variation as the confidence level tends to one. Furthermore, for the particular multivariate regularly varying case, the corresponding second-order asymptotics of tail distortion risk measure for portfolio loss is also given. The obtained second-order asymptotics makes the corresponding first-order asymptotics more accurate.

Original languageEnglish
Pages (from-to)491-503
Number of pages13
JournalCommunications in Statistics: Simulation and Computation
Volume49
Issue number2
DOIs
StatePublished - 1 Feb 2020

Keywords

  • Extreme risk index
  • Multivariate regular variation
  • Second-order regular variation
  • Tail distortion risk measure

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