Xing, Guo-dong; Li, Xiaohu; Yang, Shanchao Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model. (English) Zbl 07552588 Commun. Stat., Simulation Comput. 49, No. 2, 491-503 (2020). MSC: 60F05 91B30 PDFBibTeX XMLCite \textit{G.-d. Xing} et al., Commun. Stat., Simulation Comput. 49, No. 2, 491--503 (2020; Zbl 07552588) Full Text: DOI
Xing, Guodong; Yang, Shanchao First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation. (English) Zbl 1455.91241 J. Syst. Sci. Complex. 33, No. 5, 1533-1544 (2020). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{G. Xing} and \textit{S. Yang}, J. Syst. Sci. Complex. 33, No. 5, 1533--1544 (2020; Zbl 1455.91241) Full Text: DOI
Anderson, Edward; Xu, Huifu; Zhang, Dali Varying confidence levels for CVaR risk measures and minimax limits. (English) Zbl 1436.90092 Math. Program. 180, No. 1-2 (A), 327-370 (2020). MSC: 90C15 90C17 65K05 91B05 PDFBibTeX XMLCite \textit{E. Anderson} et al., Math. Program. 180, No. 1--2 (A), 327--370 (2020; Zbl 1436.90092) Full Text: DOI Link