Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

作者：Tiantian Mao, Gilles Stupfler, Fan Yang · 发表于：Insurance Mathematics and Economics · 年份：2023 · DOI：10.1016/j.insmatheco.2023.05.001 · 被引用次数：7 · 研究领域：Risk and Portfolio Optimization、Financial Risk and Volatility Modeling、Monetary Policy and Economic Impact