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Asymptotics of the risk concentration based on the tail distortion risk measure |
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| Authors: | Wenhua Lv Xiaoqing Pan Taizhong Hu |
| Institution: | 1. Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, Anhui 230026, China;2. School of Mathematical Sciences, Chuzhou University, Chuzhou, Anhui 239012, China |
| Abstract: | |
| Keywords: | Asymptotics Regular variation Second-order regular variation Risk concentration Tail distortion risk measure |
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