First and Second Order Asymptotics of the Spectral Risk Meas

发布时间：2021-01-16 23:40

　　In the context of multivariate regular variation, the authors establish the first-order asymptotics of the spectral risk measure of portfolio loss. Furthermore, by the notion of second-order regular variation, the second-order asymptotics of the spectral risk measure of portfolio loss is also presented.In order to illustrate the derived results, a numerical example with Monte Carlo simulation is carried out. 

【文章来源】：Journal of Systems Science & Complexity. 2020,33(05)

【文章页数】：12 页


本文编号：2981757