| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076758 | Insurance: Mathematics and Economics | 2012 | 7 Pages |
Abstract
⺠The tail distortion risk measure is introduced to assess tail risks of excess losses. ⺠The asymptotic linear relation between tail distortion and value-at-risk is derived. ⺠Applications involving tail distortions for loss distributions are presented.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Li Zhu, Haijun Li,