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Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level

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  • Takashi Kato

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

Suggested Citation

  • Takashi Kato, 2017. "Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level," Papers 1711.07335, arXiv.org.
    • Handle: RePEc:arx:papers:1711.07335
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    References listed on IDEAS

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    1. Wächter, Hans Peter & Mazzoni, Thomas, 2013. "Consistent modeling of risk averse behavior with spectral risk measures," European Journal of Operational Research, Elsevier, vol. 229(2), pages 487-495.
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    13. Takashi Kato, 2017. "Theoretical Sensitivity Analysis For Quantitative Operational Risk Management," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-23, August.
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