We study the asymptotic behavior of the difference Δρ ^X, Y_α := ρ _α (X + Y) - ρ _α (X) as α→ 1, where ρ_α is a risk measure equipped with a confidence level parameter 0 < α < 1, and where X and Y are non-negative random variables whose tail probability functions are regularly varying. The case where ρ _α is the value-at-risk (VaR) at α , is treated in Kato (2017). This paper investigates the case where ρ _α is a spectral risk measure that converges to the worst-case risk measure as α→ 1. We

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... ve the asymptotic behavior of the difference between the marginal risk contribution and the Euler contribution of Y to the portfolio X + Y. Similarly to Kato (2017), our results depend primarily on the relative magnitudes of the thicknesses of the tails of X and Y. We also conducted a numerical experiment, finding that when the tail of X is sufficiently thicker than that of Y, Δρ ^X, Y_α does not increase monotonically with α and takes a maximum at a confidence level strictly less than 1.