Abstract
In order to conduct more precise quantitative risk management, we present the second-order asymptotics of tail distortion risk measure for the portfolio loss satisfying multivariate regular variation in terms of the notion of second-order regular variation as the confidence level tends to one. Furthermore, for the particular multivariate regularly varying case, the corresponding second-order asymptotics of tail distortion risk measure for portfolio loss is also given. The obtained second-order asymptotics makes the corresponding first-order asymptotics more accurate.
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