Journal of Financial Risk Management

Vol.7 No.1(2018), Paper ID 82825, 27 pages

DOI:10.4236/jfrm.2018.71002

 

New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR

 

Chuancun Yin, Dan Zhu

 

School of Statistics, Qufu Normal University, Qufu, China
School of Statistics, Qufu Normal University, Qufu, China

 

Copyright © 2018 Chuancun Yin, Dan Zhu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Yin, C. and Zhu, D. (2018) New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR. Journal of Financial Risk Management, 7, 12-38. doi: 10.4236/jfrm.2018.71002.
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