Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152019 | Statistics & Probability Letters | 2013 | 8 Pages |
Abstract
The tail distortion risk measure at level p∈(0,1)p∈(0,1) was introduced in Zhu and Li (2012) and Yang (2012), where the parameter pp represents the confidence level. In this paper, we establish the second-order asymptotics of the risk concentration based on the tail distortion risk measure, as p↑1p↑1, for a portfolio of nn independent and identically distributed loss random variables with a common survival function possessing the property of second-order regular variation. Examples are also given.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Wenhua Lv, Xiaoqing Pan, Taizhong Hu,