Risk Concentration Based on the Tail Distortion Risk Measure under Generalized FGM Copula

2016 International Conference on Identification, Information and Knowledge in the Internet of Things (IIKI) Pub Date : 2016-10-01 DOI:10.1109/IIKI.2016.98

Wenhua Lv, Liheng Sang, Guangjun Shen

引用次数: 0

Abstract

Risk concentration is used as a measurement of diversification benefits in the context of risk concentration. The tail distortion risk measure, which was introduced in Zhu and Li (2012), has attracted increasing interest recently. In this paper, We investigate the second-order asymptotics of the risk concentration based on the tail distortion risk measure, when the dependence structure is driven by the generalized copulas.

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广义FGM联结下基于尾部扭曲风险度量的风险集中

在风险集中的背景下，风险集中度被用来衡量多元化收益。在Zhu和Li(2012)中引入的尾部扭曲风险度量近来引起了越来越多的关注。本文研究了基于尾部扭曲风险测度的风险集中的二阶渐近性，当依赖结构由广义copula驱动时。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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2016 International Conference on Identification, Information and Knowledge in the Internet of Things (IIKI)

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