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This paper is devoted to the Convergence of the so called Euler Risk Contributions when the underlying Risk Measures differ. To that end, our discussion is in regard of Euler contributions in a Risk Measure environment. In addition, we proceed by defining some conditions where the rate of convergence of Euler Risk Contributions in a Value at Risk regulation environment and Distortion Risk Measure regulation environment coincide. Finally, we generalize our findings in regard of the Expected Shortfall case.

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A Note on the Convergence of Euler Contributions, Depending on the Underlying Risk Measure

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  • 发表日期：

    2025年

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  • Georgios C. Zachos

摘要

This paper is devoted to the Convergence of the so called Euler Risk Contributions when the underlying Risk Measures differ. To that end, our discussion is in regard of Euler contributions in a Risk Measure environment. In addition, we proceed by defining some conditions where the rate of convergence of Euler Risk Contributions in a Value at Risk regulation environment and Distortion Risk Measure regulation environment coincide. Finally, we generalize our findings in regard of the Expected Shortfall case.