Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation. Issue 12 (17th June 2020)

• Record Type: Journal Article
• Authors: Xing, Guo-dong; Gan, Xiaoli
• Is Part Of: Communications in statistics. Volume 49:Issue 12(2020)
• Page Start: 2931
• Page End: 2941
• Publication Date: 2020-06-17
• Subjects: Tail distortion risk measure -- value-at-risk -- regular variation -- multivariate regular variation; 60P05 -- 62E20; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2019.1584312
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: Under the framework of multivariate regular variation, we obtain the asymptotic ratio between the tail distortion risk measure for portfolio loss and the sum of value-at-risk for single loss by a different method from the one in Zhu and Li when the confidence level tends to one. In order to illustrate the derived result, a relevant example is given and the corresponding numerical simulation is also carried out.