Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level

Takashi Kato

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Abstract: We study the asymptotic behavior of the difference $\Delta \rho ^{X, Y}_\alpha := \rho _\alpha (X + Y) - \rho _\alpha (X)$ as $\alpha \rightarrow 1$, where $\rho_\alpha $ is a risk measure equipped with a confidence level parameter $0

Date: 2017-11
New Economics Papers: this item is included in nep-rmg
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Published in Journal of Mathematical Finance, Vol.8, No.1, pp.197-226 (2018)

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