Asymptotics of the risk concentration based on the tail distortion risk measure

Wenhua Lv, Xiaoqing Pan and Taizhong Hu

Statistics & Probability Letters, 2013, vol. 83, issue 12, 2703-2710

Abstract: The tail distortion risk measure at level p∈(0,1) was introduced in Zhu and Li (2012) and Yang (2012), where the parameter p 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↑1, for a portfolio of n independent and identically distributed loss random variables with a common survival function possessing the property of second-order regular variation. Examples are also given.

Keywords: Asymptotics; Regular variation; Second-order regular variation; Risk concentration; Tail distortion risk measure (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2013.09.006

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