Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation

Guo-dong Xing and Xiaoli Gan

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 12, 2931-2941

Abstract: Under the framework of multivariate regular variation, we obtain the asymptotic ratio between the tail distortion risk measure for portfolio loss and the sum of value-at-risk for single loss by a different method from the one in Zhu and Li when the confidence level tends to one. In order to illustrate the derived result, a relevant example is given and the corresponding numerical simulation is also carried out.

Date: 2020
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DOI: 10.1080/03610926.2019.1584312

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