Related papers: Asymptotic Analysis for Spectral Risk Measures Par…

Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to…

The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…

For a regression model, we consider the risk of the maximum likelihood estimator with respect to $\alpha$-divergence, which includes the special cases of Kullback-Leibler divergence, Hellinger distance and $\chi^2$ divergence. The…

Tail Gini functional is a measure of tail risk variability for systemic risks, and has many applications in banking, finance and insurance. Meanwhile, there is growing attention on aymptotic independent pairs in quantitative risk…

We propose a general approach to construct weighted likelihood estimating equations with the aim of obtaining robust parameter estimates. We modify the standard likelihood equations by incorporating a weight that reflects the statistical…

In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are approximated under various assumptions, where the individual…

Assume that we observe a stochastic process $(X(t))_{t\in[-r,T]}$, which satisfies the linear stochastic delay differential equation \[ \mathrm{d} X(t) = \vartheta \int_{[-r,0]} X(t + u) \, a(\mathrm{d} u) \, \mathrm{d} t + \mathrm{d} W(t)…

We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model. The EVaR downside risk is more sensitive to the magnitude of portfolio losses compared to the quantile-based value at risk (QVaR). Rather…

This paper is dedicated to the consistency of systemic risk measures with respect to stochastic dependence. It compares two alternative notions of Conditional Value-at-Risk (CoVaR) available in the current literature. These notions are both…

The max-relative entropy together with its smoothed version is a basic tool in quantum information theory. In this paper, we derive the exact exponent for the asymptotic decay of the small modification of the quantum state in smoothing the…

We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…

We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, environmental and biostatistic applications. We obtain the…

Recent empirical and theoretical analyses of several commonly used prediction procedures reveal a peculiar risk behavior in high dimensions, referred to as double/multiple descent, in which the asymptotic risk is a non-monotonic function of…

For an asymptotic $\ell_1$ space $X$ with a basis $(x_i)$ certain asymptotic $\ell_1$ constants, $\delta_\alpha (X)$ are defined for $\alpha <\omega_1$. $\delta_\alpha (X)$ measures the equivalence between all normalized block bases…

This paper shows that the CoVaR,$\Delta$-CoVaR,CoES,$\Delta$-CoES and MES systemic risk measures can be represented in terms of the univariate risk measure evaluated at a quantile determined by the copula. The result is applied to derive…

Let $\Delta\subsetneq\V$ be a proper subset of the vertices $\V$ of the defining graph of an aperiodic shift of finite type $(\Sigma_{A}^{+},\S)$. Let $\Delta_{n}$ be the union of cylinders in $\Sigma_{A}^{+}$ corresponding to the points…

Asymptotic optimality is a key theoretical property in model averaging. Due to technical difficulties, existing studies rely on restricted weight sets or the assumption that there is no true model with fixed dimensions in the candidate set.…

For one-sample level $\alpha$ tests $\psi_m$ based on independent observations $X_1,...,X_m$, we prove an asymptotic formula for the actual level of the test rejecting if at least one of the tests $\psi_{n},...,\psi_{n+k}$ would reject. For…

We study Spectral Measures of Risk from the perspective of portfolio optimization. We derive exact results which extend to general Spectral Measures M_phi the Pflug--Rockafellar--Uryasev methodology for the minimization of alpha--Expected…

Cox proportional hazards model with measurement error is investigated. In Kukush et al. (2011) [Journal of Statistical Research 45, 77-94] and Chimisov and Kukush (2014) [Modern Stochastics: Theory and Applications 1, 13-32] asymptotic…