Second order regular variation and conditional tail expectation of multiple risks

Insurance: Mathematics and Economics

Volumn 49, Issue 3, 2011, Pages 537-546

  Hua, Lei ^a   Joe, Harry ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Asymptotic analysis; Conditional tail expectation; Second order approximation; Sub extremal multiple risk; Value at risk

Indexed keywords

EID: 80755189361     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2011.08.013     Document Type: Article

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