"Second-order asymptotics of tail distortion risk measure for portfolio ..."

Guo-Dong Xing, Xiaohu Li, Shanchao Yang (2020)

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DOI: 10.1080/03610918.2018.1485945

access: closed

type: Journal Article

metadata version: 2020-05-10

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Guo-Dong Xing, Xiaohu Li, Shanchao Yang:
Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model. Commun. Stat. Simul. Comput. 49(2): 491-503 (2020)

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