Lv, Wenhua; Pan, Xiaoqing; Hu, Taizhong - In: Statistics & Probability Letters 83 (2013) 12, pp. 2703-2710
The tail distortion risk measure at level p∈(0,1) was introduced in Zhu and Li (2012) and Yang (2012), where the parameter p represents the confidence level. In this paper, we establish the second-order asymptotics of the risk concentration based on the tail distortion risk measure, as...