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Second order regular variation and conditional tail expectation of multiple risks

Citations

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Cited by:

  1. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2017. "Extreme M-quantiles as risk measures: From L1 to Lp optimization," TSE Working Papers 17-841, Toulouse School of Economics (TSE).
  2. Wang, Bingjie & Li, Jinzhu, 2024. "Asymptotic results on tail moment for light-tailed risks," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 43-55.
  3. Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 552-580.
  4. Samuel Drapeau & Mekonnen Tadese, 2019. "Dual Representation of Expectile based Expected Shortfall and Its Properties," Papers 1911.03245, arXiv.org.
  5. Bikramjit Das & Marie Kratz, 2017. "Diversification benefits under multivariate second order regular variation," Working Papers hal-01520655, HAL.
  6. Samuel Drapeau & Mekonnen Tadese, 2019. "Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall," Papers 1906.09729, arXiv.org, revised Jun 2020.
  7. Li, Jinzhu, 2022. "Asymptotic results on marginal expected shortfalls for dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 146-168.
  8. Tadese, Mekonnen & Drapeau, Samuel, 2020. "Relative bound and asymptotic comparison of expectile with respect to expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 387-399.
  9. Hashorva, Enkelejd & Ling, Chengxiu & Peng, Zuoxiang, 2014. "Second-order tail asymptotics of deflated risks," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 88-101.
  10. Hua, Lei & Joe, Harry, 2012. "Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 492-503.
  11. Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
  12. Mao, Tiantian & Lv, Wenhua & Hu, Taizhong, 2012. "Second-order expansions of the risk concentration based on CTE," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 449-456.
  13. Mao, Tiantian & Stupfler, Gilles & Yang, Fan, 2023. "Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 173-192.
  14. Yang Yang & Shuang Liu & Kam Chuen Yuen, 2022. "Second-Order Tail Behavior for Stochastic Discounted Value of Aggregate Net Losses in a Discrete-Time Risk Model," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2600-2621, December.
  15. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.
  16. Das, Bikramjit & Kratz, Marie, 2017. "Diversification benefits under multivariate second order regular variation," ESSEC Working Papers WP1706, ESSEC Research Center, ESSEC Business School.
  17. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021. "ExpectHill estimation, extreme risk and heavy tails," Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.
  18. Pan, Xiaoqing & Leng, Xuan & Hu, Taizhong, 2013. "The second-order version of Karamata’s theorem with applications," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1397-1403.
  19. Das Bikramjit & Fasen-Hartmann Vicky, 2019. "Conditional excess risk measures and multivariate regular variation," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 1-23, December.
  20. Xin Lao & Zuoxiang Peng & Saralees Nadarajah, 2023. "Tail Dependence Functions of Two Classes of Bivariate Skew Distributions," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
  21. Mao, Tiantian & Hu, Taizhong, 2012. "Second-order properties of the Haezendonck–Goovaerts risk measure for extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 333-343.
  22. Sana Braiek & Rihab Bedoui & Lotfi Belkacem, 2022. "Islamic portfolio optimization under systemic risk: Vine Copula‐CoVaR based model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1321-1339, January.
  23. Hua, Lei & Joe, Harry, 2014. "Strength of tail dependence based on conditional tail expectation," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 143-159.
  24. Hoga, Yannick, 2021. "The uncertainty in extreme risk forecasts from covariate-augmented volatility models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 675-686.
  25. Laurent Gardes & Stéphane Girard, 2021. "On the estimation of the variability in the distribution tail," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 884-907, December.
  26. Arendarczyk, Marek & Kozubowski, Tomasz. J. & Panorska, Anna K., 2018. "The joint distribution of the sum and the maximum of heterogeneous exponential random variables," Statistics & Probability Letters, Elsevier, vol. 139(C), pages 10-19.
  27. Michael L. Stein, 2021. "A parametric model for distributions with flexible behavior in both tails," Environmetrics, John Wiley & Sons, Ltd., vol. 32(2), March.
  28. Jaunė, Eglė & Šiaulys, Jonas, 2022. "Asymptotic risk decomposition for regularly varying distributions with tail dependence," Applied Mathematics and Computation, Elsevier, vol. 427(C).
  29. Gribkova, N.V. & Su, J. & Zitikis, R., 2022. "Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 199-222.
  30. Leipus, Remigijus & Paukštys, Saulius & Šiaulys, Jonas, 2021. "Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck–Goovaerts risk measure," Statistics & Probability Letters, Elsevier, vol. 170(C).
  31. Lv, Wenhua & Pan, Xiaoqing & Hu, Taizhong, 2013. "Asymptotics of the risk concentration based on the tail distortion risk measure," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2703-2710.
  32. Arendarczyk, Marek & Kozubowski, Tomasz. J. & Panorska, Anna K., 2018. "The joint distribution of the sum and maximum of dependent Pareto risks," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 136-156.
  33. Peng, Zuoxiang & Liao, Xin, 2015. "Second-order asymptotics for convolution of distributions with light tails," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 199-208.
  34. Mao, Tiantian & Yang, Fan, 2015. "Risk concentration based on Expectiles for extreme risks under FGM copula," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 429-439.
  35. Asimit, Alexandru V. & Li, Jinzhu, 2016. "Extremes for coherent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 332-341.
  36. Elena Di Bernardino & Clémentine Prieur, 2014. "Estimation of multivariate conditional-tail-expectation using Kendall's process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(2), pages 241-267, June.
  37. Bingzhen Geng & Yang Liu & Yimiao Zhao, 2024. "Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification," Papers 2404.18029, arXiv.org.
  38. Jonathan El Methni & Laurent Gardes & Stéphane Girard, 2014. "Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 988-1012, December.
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