collaborators

1 paper

q-fin.RM2026

The conditional higher moment risk measure: second-order asymptotics with FGM contagion

Haifan Hu, Bingzhen Geng, Jiajun Liu +1

This paper investigates second-order asymptotic expansions for the conditional higher moment (CoHM) coherent risk measure under a Farlie-Gumbel-Morgenstern (FGM) dependence structu…