Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model-Reference-Cited by-同舟云学术

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

Published:2018-12-04 Issue:2 Volume:49 Page:491-503
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Xing Guo-dong¹²,Li Xiaohu³,Yang Shanchao⁴

Affiliation:

1. School of Mathematical Sciences, Xiamen University, Xiamen, China;;

2. School of Mathematics & Computer Science Shangrao Normal University, Shangrao, China;;

3. Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ, USA;;

4. School of Mathematics and Statistics, Guangxi Normal University, Guilin, China

Funder

National Science Foundation of China

Important Natural Science Foundation of Anhui Universities

Natural Science Foundation of Shangrao Normal University

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2018.1485945

Reference23 articles.

1. Diversification of aggregate dependent risks

2. Analysis of the Expected Shortfall of Aggregate Dependent Risks

3. Diversification for general copula dependence

4. A characterization of multivariate regular variation

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Tail Distortion Risk Measure for Portfolio with Multivariate Regularly Variation;Communications in Mathematics and Statistics;2021-04-03

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