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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 This paper establishes both first-order and second-order asymptotics for the Frechet, Weibull and Gumbel ...- Authors: Fan Yang
- Date: Dec 2012
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM