First and Second-order Asymptotics for Operational Risk Based on a Spectral Risk Measure

被引：0
|
作者：
Lv, Wenhua [1 ,2 ]
机构：
[1] Univ Sci & Technol China, Sch Management, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China
[2] Chuzhou Univ, Sch Math Sci, Chuzhou 239012, Anhui, Peoples R China
来源：
INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS | 2013年 / 42卷 / 12期
关键词：
Extreme value distribution; Max-domain of attraction; Regular variation; Secondorder regular variation; Spectral risk measure;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Spectral risk measures (SRMs) was first introduced by Acerbi (2002), which take account of risk aversion of a decision maker. In this paper, we study the asymptotics of SRMs with risk severity distribution from the max-domain of attraction of an extreme value distribution. More precisely, we get the first-order asymptotics of SRMs according to the max-domains of the Frechet, Weibull and Gumbel distributions, respectively. We also investigate the second-order asymptotics for operational risk SRMs under the theory of second-order regular variation and second-order subexponentiality.
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页码：417 / 429
页数：13
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