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First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation |
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| Authors: | Xing Guodong Yang Shanchao |
| Affiliation: | 1.School of Mathematics and Statistics, Hefei Normal University, Hefei, 230601, China ;2.School of Mathematics and Statistics, Yulin Normal University, Yulin, 537000, China ;3.School of Mathematics and Statistics, Guangxi Normal University, Guilin, 541004, China ; |
| Abstract: | 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. |
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