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Asymptotics of the risk concentration based on the tail distortion risk measure

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  • Lv, Wenhua
  • Pan, Xiaoqing
  • Hu, Taizhong

Abstract

The tail distortion risk measure at level p∈(0,1) was introduced in Zhu and Li (2012) and Yang (2012), where the parameter p represents the confidence level. In this paper, we establish the second-order asymptotics of the risk concentration based on the tail distortion risk measure, as p↑1, for a portfolio of n independent and identically distributed loss random variables with a common survival function possessing the property of second-order regular variation. Examples are also given.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:12:p:2703-2710
    DOI: 10.1016/j.spl.2013.09.006
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    References listed on IDEAS

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    1. 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.
    2. Hua, Lei & Joe, Harry, 2011. "Second order regular variation and conditional tail expectation of multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 537-546.
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    4. Alejandro Balbás & José Garrido & Silvia Mayoral, 2009. "Properties of Distortion Risk Measures," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 385-399, September.
    5. Zhu, Li & Li, Haijun, 2012. "Tail distortion risk and its asymptotic analysis," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 115-121.
    6. Degen, Matthias & Lambrigger, Dominik D. & Segers, Johan, 2010. "Risk concentration and diversification: Second-order properties," LIDAM Reprints ISBA 2010011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Degen, Matthias & Lambrigger, Dominik D. & Segers, Johan, 2010. "Risk concentration and diversification: Second-order properties," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 541-546, June.
    8. Embrechts, Paul & Neslehová, Johanna & Wüthrich, Mario V., 2009. "Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 164-169, April.
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    Cited by:

    1. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
    2. Sun, Xianming & Gan, Siqing & Vanmaele, Michèle, 2015. "Analytical approximation for distorted expectations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 246-252.

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