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First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks
First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks ... Second-order condition; Tail distortion risk measure MSC: Primary 62P05; Secondary 60G70, 62E20 1 Introduction ...- Authors: Fan Yang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM