Search Results - subject:"second-order regular variation"

A unified theory of extreme Expected Shortfall inference

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024

Persistent link: https://www.econbiz.de/10015097279

Multi-normex distributions for the sum of random vectors : rates of convergence

Kratz, Marie; Prokopenko, Evgeny - 2021

Persistent link: https://www.econbiz.de/10013173635

Operational risk quantified with spectral risk measures : a refined closed-form approximation

Tong, Bin; Diao, Xundi; Wu, Chongfeng - In: Quantitative finance 19 (2019) 7, pp. 1221-1242

Persistent link: https://www.econbiz.de/10012194759

Risk concentration based on Expectiles for extreme risks under FGM copula

Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439

Persistent link: https://www.econbiz.de/10011398136

Second-order tail asymptotics of deflated risks

Hashorva, Enkelejd; Ling, Chengxiu; Peng, Zuoxiang - In: Insurance: Mathematics and Economics 56 (2014) C, pp. 88-101

paper, we investigate second-order tail asymptotics of the deflated risk X=RS under the assumptions of second-order regular … variation on the survival functions of the risk R and the deflator S. Our findings are applied to derive second-order expansions …

Persistent link: https://www.econbiz.de/10010776722

Second-order tail asymptotics of deflated risks

Hashorva, Enkelejd; Ling, Chengxiu; Peng, Zuoxiang - In: Insurance / Mathematics & economics 56 (2014), pp. 88-101

Persistent link: https://www.econbiz.de/10010385024

Asymptotics of the risk concentration based on the tail distortion risk measure

Lv, Wenhua; Pan, Xiaoqing; Hu, Taizhong - In: Statistics & Probability Letters 83 (2013) 12, pp. 2703-2710

variables with a common survival function possessing the property of second-order regular variation. Examples are also given. …

Persistent link: https://www.econbiz.de/10011040038

The second-order version of Karamata’s theorem with applications

Pan, Xiaoqing; Leng, Xuan; Hu, Taizhong - In: Statistics & Probability Letters 83 (2013) 5, pp. 1397-1403

, we obtain the second-order version of Karamata’s theorem, and give its one application in characterizing the second-order … regular variation property of a survival function in terms of conditional moments. …

Persistent link: https://www.econbiz.de/10010662342

Risk concentration of aggregated dependent risks: The second-order properties

Tong, Bin; Wu, Chongfeng; Xu, Weidong - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 139-149

second-order regular variation and the theory of Archimedean copula. Moreover, we find that the rate of convergence of the …

Persistent link: https://www.econbiz.de/10011046600

Second-order properties of the Haezendonck–Goovaerts risk measure for extreme risks

Mao, Tiantian; Hu, Taizhong - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 333-343

The Haezendonck–Goovaerts risk measure is based on the premium calculation principle induced by an Orlicz norm, which is defined via an increasing and convex Young function and a parameter q∈(0,1) representing the confidence level. In this paper, we first reestablish the first-order...

Persistent link: https://www.econbiz.de/10011046654