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Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation

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  • Guo-dong Xing
  • Xiaoli Gan

Abstract

Under the framework of multivariate regular variation, we obtain the asymptotic ratio between the tail distortion risk measure for portfolio loss and the sum of value-at-risk for single loss by a different method from the one in Zhu and Li when the confidence level tends to one. In order to illustrate the derived result, a relevant example is given and the corresponding numerical simulation is also carried out.

Suggested Citation

  • Guo-dong Xing & Xiaoli Gan, 2020. "Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(12), pages 2931-2941, June.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:12:p:2931-2941
    DOI: 10.1080/03610926.2019.1584312
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