Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model. Issue 2 (1st February 2020)

• Record Type: Journal Article
• Authors: Xing, Guo-dong; Li, Xiaohu; Yang, Shanchao
• Is Part Of: Communications in statistics. Volume 49:Issue 2(2020)
• Page Start: 491
• Page End: 503
• Publication Date: 2020-02-01
• Subjects: Extreme risk index -- Multivariate regular variation -- Second-order regular variation -- Tail distortion risk measure; 60F05 -- 91B30; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2018.1485945
• Languages: English
• ISSNs: 0361-0918

Abstract

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.