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Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model.

Guo-Dong XingXiaohu LiShanchao Yang
Published in: Commun. Stat. Simul. Comput. (2020)
Keyphrases
  • probabilistic model
  • management system
  • prior knowledge
  • objective function
  • computational model
  • statistical model
  • formal model
  • probability distribution