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 language | English |
|---|---|
| Pages (from-to) | 491-503 |
| Number of pages | 13 |
| Journal | Communications in Statistics: Simulation and Computation |
| Volume | 49 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1 Feb 2020 |
Keywords
- Extreme risk index
- Multivariate regular variation
- Second-order regular variation
- Tail distortion risk measure
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