First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation

• 作者: XING Guodong YANG Shanchao
• 来源期刊: 系统科学与复杂性学报（英文版）
• 年，卷（期）: 2020,（5）
• 页码范围: 1533-1544
• 页数: 12页
• 语种: 英文
• DOI: 10.1007/s11424-020-8037-z

摘要

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.