Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

Tiantian Mao, Gilles Stupfler, Fan Yang

Year of publication:	2023
Authors:	Mao, Tiantian ; Stupfler, Gilles ; Yang, Fan
Published in:	Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 111.2023, p. 173-192
Subject:	Generalized shortfall risk measure \| Asymptotic expansions \| Heavy tails \| Estimation \| Extreme value statistics \| Risikomaß \| Risk measure \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection \| Risikomanagement \| Risk management \| Messung \| Measurement \| Statistische Verteilung \| Statistical distribution \| Schätztheorie \| Estimation theory \| Statistische Methodenlehre \| Statistical theory \| Ausreißer \| Outliers

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