TY - JOUR
T1 - Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
AU - Xing, Guo dong
AU - Li, Xiaohu
AU - Yang, Shanchao
N1 - Publisher Copyright:
© 2018, © 2018 Taylor & Francis Group, LLC.
PY - 2020/2/1
Y1 - 2020/2/1
N2 - 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.
AB - 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.
KW - Extreme risk index
KW - Multivariate regular variation
KW - Second-order regular variation
KW - Tail distortion risk measure
UR - http://www.scopus.com/inward/record.url?scp=85057734492&partnerID=8YFLogxK
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U2 - 10.1080/03610918.2018.1485945
DO - 10.1080/03610918.2018.1485945
M3 - Article
AN - SCOPUS:85057734492
SN - 0361-0918
VL - 49
SP - 491
EP - 503
JO - Communications in Statistics: Simulation and Computation
JF - Communications in Statistics: Simulation and Computation
IS - 2
ER -