FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4375863619> ?p ?o ?g. }

• W4375863619 endingPage "28" @default.
• W4375863619 startingPage "1" @default.
• W4375863619 abstract "Abstract In this paper, we consider a financial or insurance system with a finite number of individual risks described by real-valued random variables. We focus on two kinds of risk measures, referred to as the tail moment (TM) and the tail central moment (TCM), which are defined as the conditional moment and conditional central moment of some individual risk in the event of system crisis. The first-order TM and the second-order TCM coincide with the popular risk measures called the marginal expected shortfall and the tail variance, respectively. We derive asymptotic expressions for the TM and TCM with any positive integer orders, when the individual risks are pairwise asymptotically independent and have distributions from certain classes that contain both light-tailed and heavy-tailed distributions. The formulas obtained possess concise forms unrelated to dependence structures, and hence enable us to estimate the TM and TCM efficiently. To demonstrate the wide application of our results, we revisit some issues related to premium principles and optimal capital allocation from the asymptotic point of view. We also give a numerical study on the relative errors of the asymptotic results obtained, under some specific scenarios when there are two individual risks in the system. The corresponding asymptotic properties of the degenerate univariate versions of the TM and TCM are discussed separately in an appendix at the end of the paper." @default.
• W4375863619 created "2023-05-10" @default.
• W4375863619 creator A5041283996 @default.
• W4375863619 date "2023-05-08" @default.
• W4375863619 modified "2023-09-29" @default.
• W4375863619 title "Asymptotic results on tail moment and tail central moment for dependent risks" @default.
• W4375863619 cites W1481020722 @default.
• W4375863619 cites W1978938524 @default.
• W4375863619 cites W1980620433 @default.
• W4375863619 cites W1997182029 @default.
• W4375863619 cites W1997935816 @default.
• W4375863619 cites W2008653605 @default.
• W4375863619 cites W2011836937 @default.
• W4375863619 cites W2012098983 @default.
• W4375863619 cites W2014093688 @default.
• W4375863619 cites W2039519497 @default.
• W4375863619 cites W2047144206 @default.
• W4375863619 cites W2054158526 @default.
• W4375863619 cites W2058121906 @default.
• W4375863619 cites W2096170829 @default.
• W4375863619 cites W2096810383 @default.
• W4375863619 cites W2104953984 @default.
• W4375863619 cites W2106868358 @default.
• W4375863619 cites W2109521279 @default.
• W4375863619 cites W2120238068 @default.
• W4375863619 cites W2147965521 @default.
• W4375863619 cites W2166353927 @default.
• W4375863619 cites W2502254989 @default.
• W4375863619 cites W2521334532 @default.
• W4375863619 cites W2594139936 @default.
• W4375863619 cites W2918627744 @default.
• W4375863619 cites W3007116417 @default.
• W4375863619 cites W3008647741 @default.
• W4375863619 cites W3107760958 @default.
• W4375863619 cites W3121899015 @default.
• W4375863619 cites W3123257156 @default.
• W4375863619 cites W3123609259 @default.
• W4375863619 cites W3126021673 @default.
• W4375863619 cites W3128694084 @default.
• W4375863619 cites W3137579940 @default.
• W4375863619 cites W3175957685 @default.
• W4375863619 cites W3197975201 @default.
• W4375863619 cites W4200150688 @default.
• W4375863619 cites W4205282347 @default.
• W4375863619 cites W4206769493 @default.
• W4375863619 cites W4224736663 @default.
• W4375863619 cites W4230327943 @default.
• W4375863619 cites W4236377596 @default.
• W4375863619 doi "https://doi.org/10.1017/apr.2022.74" @default.
• W4375863619 hasPublicationYear "2023" @default.
• W4375863619 type Work @default.
• W4375863619 citedByCount "0" @default.
• W4375863619 crossrefType "journal-article" @default.
• W4375863619 hasAuthorship W4375863619A5041283996 @default.
• W4375863619 hasConcept C10138342 @default.
• W4375863619 hasConcept C105795698 @default.
• W4375863619 hasConcept C121332964 @default.
• W4375863619 hasConcept C122123141 @default.
• W4375863619 hasConcept C138142054 @default.
• W4375863619 hasConcept C149782125 @default.
• W4375863619 hasConcept C1602530 @default.
• W4375863619 hasConcept C161584116 @default.
• W4375863619 hasConcept C162324750 @default.
• W4375863619 hasConcept C166785042 @default.
• W4375863619 hasConcept C175444787 @default.
• W4375863619 hasConcept C179254644 @default.
• W4375863619 hasConcept C181622380 @default.
• W4375863619 hasConcept C182306322 @default.
• W4375863619 hasConcept C184898388 @default.
• W4375863619 hasConcept C199163554 @default.
• W4375863619 hasConcept C2776734221 @default.
• W4375863619 hasConcept C2777606061 @default.
• W4375863619 hasConcept C28826006 @default.
• W4375863619 hasConcept C33923547 @default.
• W4375863619 hasConcept C74650414 @default.
• W4375863619 hasConceptScore W4375863619C10138342 @default.
• W4375863619 hasConceptScore W4375863619C105795698 @default.
• W4375863619 hasConceptScore W4375863619C121332964 @default.
• W4375863619 hasConceptScore W4375863619C122123141 @default.
• W4375863619 hasConceptScore W4375863619C138142054 @default.
• W4375863619 hasConceptScore W4375863619C149782125 @default.
• W4375863619 hasConceptScore W4375863619C1602530 @default.
• W4375863619 hasConceptScore W4375863619C161584116 @default.
• W4375863619 hasConceptScore W4375863619C162324750 @default.
• W4375863619 hasConceptScore W4375863619C166785042 @default.
• W4375863619 hasConceptScore W4375863619C175444787 @default.
• W4375863619 hasConceptScore W4375863619C179254644 @default.
• W4375863619 hasConceptScore W4375863619C181622380 @default.
• W4375863619 hasConceptScore W4375863619C182306322 @default.
• W4375863619 hasConceptScore W4375863619C184898388 @default.
• W4375863619 hasConceptScore W4375863619C199163554 @default.
• W4375863619 hasConceptScore W4375863619C2776734221 @default.
• W4375863619 hasConceptScore W4375863619C2777606061 @default.
• W4375863619 hasConceptScore W4375863619C28826006 @default.
• W4375863619 hasConceptScore W4375863619C33923547 @default.
• W4375863619 hasConceptScore W4375863619C74650414 @default.
• W4375863619 hasLocation W43758636191 @default.
• W4375863619 hasOpenAccess W4375863619 @default.

• next