{"title":"Risk Concentration Based on the Tail Distortion Risk Measure under Generalized FGM Copula","authors":"Wenhua Lv, Liheng Sang, Guangjun Shen","doi":"10.1109/IIKI.2016.98","DOIUrl":null,"url":null,"abstract":"Risk concentration is used as a measurement of diversification benefits in the context of risk concentration. The tail distortion risk measure, which was introduced in Zhu and Li (2012), has attracted increasing interest recently. In this paper, We investigate the second-order asymptotics of the risk concentration based on the tail distortion risk measure, when the dependence structure is driven by the generalized copulas.","PeriodicalId":371106,"journal":{"name":"2016 International Conference on Identification, Information and Knowledge in the Internet of Things (IIKI)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2016 International Conference on Identification, Information and Knowledge in the Internet of Things (IIKI)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/IIKI.2016.98","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
Risk concentration is used as a measurement of diversification benefits in the context of risk concentration. The tail distortion risk measure, which was introduced in Zhu and Li (2012), has attracted increasing interest recently. In this paper, We investigate the second-order asymptotics of the risk concentration based on the tail distortion risk measure, when the dependence structure is driven by the generalized copulas.
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