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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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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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Author information

Authors and Affiliations

  1. School of Mathematics and Statistics, Hefei Normal University, Hefei, 230601, China

    Guodong Xing

  2. School of Mathematics and Statistics, Yulin Normal University, Yulin, 537000, China

    Guodong Xing

  3. School of Mathematics and Statistics, Guangxi Normal University, Guilin, 541004, China

    Shanchao Yang

Authors
  1. Guodong Xing
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  2. Shanchao Yang
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Corresponding author

Correspondence to Guodong Xing.

Additional information

This research was supported by the Important Natural Science Foundation of Colleges and Universities of Anhui Province under Grant No. KJ2020A0122 and the Scientific Research Start-up Foundation of Hefei Normal University.

This paper was recommended for publication by Editor WANG Shouyang.

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Xing, G., Yang, S. First and Second Order Asymptotics of the Spectral Risk Measure for Portfolio Loss Under Multivariate Regular Variation. J Syst Sci Complex 33, 1533–1544 (2020). https://doi.org/10.1007/s11424-020-8037-z

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  • DOI: https://doi.org/10.1007/s11424-020-8037-z

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