Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation |
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Authors: | Guo-dong Xing |
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Affiliation: | School of Mathematics and Statistics, Hefei Normal University, Hefei, China |
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Abstract: | AbstractUnder 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. |
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Keywords: | Tail distortion risk measure value-at-risk regular variation multivariate regular variation |
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