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First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation. (English) Zbl 1455.91241

Summary: 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.

MSC:

91G10 Portfolio theory
91G70 Statistical methods; risk measures
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