First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks

Fan Yang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 3, 520-532

Abstract: The tail distortion risk measure at level p was first introduced in Zhu and Li (2012), where the parameter p ∈ (0, 1) indicates the confidence level. They established first-order asymptotics for this risk measure, as p↑1, for the Fréchet case. In this article, we extend their work by establishing both first-order and second-order asymptotics for the Fréchet, Weibull, and Gumbel cases. Numerical studies are also carried out to examine the accuracy of both asymptotics.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2012.751116 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:44:y:2015:i:3:p:520-532

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2012.751116

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().