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.
引用
收藏
页码：417 / 429
页数：13
相关论文
共 50 条
  • [41] Second-order asymptotics of ruin probabilities for semiexponential claims
    A. Aleškevičienė
    R. Leipus
    J. Šiaulys
    Lithuanian Mathematical Journal, 2009, 49 : 364 - 371
  • [42] Second-order asymptotics for the fast-diffusion equation
    McCann, Robert J.
    Slepcev, Dejan
    INTERNATIONAL MATHEMATICS RESEARCH NOTICES, 2006, 2006
  • [43] Second-order asymptotics of the fractional perimeter as s → 1
    Cesaroni, Annalisa
    Novaga, Matteo
    MATHEMATICS IN ENGINEERING, 2020, 2 (03): : 512 - 526
  • [44] Oscillation and asymptotics for nonlinear second-order differential equations
    Wu, HW
    Wang, QR
    Xu, YT
    COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2004, 48 (1-2) : 61 - 72
  • [45] On the asymptotics of solutions of nonlinear second-order differential equations
    Evtukhov, VM
    Kirillova, LA
    DIFFERENTIAL EQUATIONS, 2005, 41 (08) : 1105 - 1114
  • [46] Second-order asymptotics of ruin probabilities for semiexponential claims
    Aleskeviciene, A.
    Leipus, R.
    Siaulys, J.
    LITHUANIAN MATHEMATICAL JOURNAL, 2009, 49 (04) : 364 - 371
  • [47] On the second-order asymptotics for entanglement-assisted communication
    Datta, Nilanjana
    Tomamichel, Marco
    Wilde, Mark M.
    QUANTUM INFORMATION PROCESSING, 2016, 15 (06) : 2569 - 2591
  • [48] Second-Order and Moderate Deviations Asymptotics for Successive Refinement
    Zhou, Lin
    Tan, Vincent Y. F.
    Motani, Mehul
    IEEE TRANSACTIONS ON INFORMATION THEORY, 2017, 63 (05) : 2896 - 2921
  • [49] First-order and second-order spectral 'motion' mechanisms in the human auditory system
    Huddleston, WE
    DeYoe, EA
    PERCEPTION, 2003, 32 (09) : 1141 - 1149
  • [50] Strong Converse and Second-Order Asymptotics of Channel Resolvability
    Watanabe, Shun
    Hayashi, Masahito
    2014 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY (ISIT), 2014, : 1882 - 1886
12345