Article ID Journal Published Year Pages File Type
5076931 Insurance: Mathematics and Economics 2012 8 Pages PDF
Abstract
► We establish second-order expansions of the risk concentration based on CTE for i.i.d. variables. ► The theory of second-order regular variation and the theory of second-order subexponentiality are used. ► Some examples are provided to illustrate the performance of our approximation.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Second-order expansions of the risk concentration based on CTE
Authors
, , ,