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Second-order tail asymptotics of deflated risks
Affiliation:1. Faculty of Business and Economics (HEC Lausanne), University of Lausanne, 1015 Lausanne, Switzerland;2. School of Mathematics and Statistics, Southwest University, 400715 Chongqing, China;1. Charles University in Prague, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Sokolovská 83, CZ-18675 Prague, Czech Republic;2. Humboldt University of Berlin, School of Business and Economics, Ladislaus von Bortkiewicz Chair of Statistics, C.A.S.E. –Center for Applied Statistics and Economics, Spandauer Strasse 1, D-10178 Berlin, Germany;1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing, 210029, China;2. School of Economics and Management, Southeast University, Nanjing, 210096, China;3. Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania;4. Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, Vilnius LT-08663, Lithuania;1. College of Mathematics and Informatics, South China Agricultural University, Guangzhou 510642, China;2. School of Mathematics and Science, Shanghai Normal University, Shanghai 200234, China;1. Department of Statistics, The Chinese University of Hong Kong, Hong Kong;2. Department of Mathematics and Information Technology, Hong Kong Institute of Education, Hong Kong
Abstract:
Keywords:Random deflation  Value-at-Risk  Risk aggregation  Second-order regular variation  Estimation of tail probability
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