Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
尾部基尼泛函的极限与推断及尾部风险度量应用
–Tail risk analysis focuses on the problem of risk measurement on the tail regions of financial variables. As one crucial task in tail risk analysis for risk management, the measurement of tail risk variability is less addressed in the literature. Neither the theoretical results nor inference methods are fully developed, which results in the difficulty of modeling implementation. Practitioners are then short of measurement methods to understand and evaluate tail risks, even…