Tail Distortion Risk and Its Asymptotic Analysis
نویسندگان
چکیده
A distortion risk measure used in finance and insurance is defined as the expected value of potential loss under a scenario probability measure. In this paper, the tail distortion risk measure is introduced to assess tail risks of excess losses modeled by the right tails of loss distributions. The asymptotic linear relation between tail distortion and Value-at-Risk is derived for heavy tailed losses with the linear proportionality constant depending only on the distortion function and tail index. Various examples involving tail distortions for location, scale and shape invariant loss distribution families are also presented to illustrate the results. JEL code and keywords: G32, distortion risk measure, regular variation, tail risk, tail conditional expectation. Classification codes: IM10, IM54.
منابع مشابه
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