Pages that link to "Item:Q3632844"
From MaRDI portal
The following pages link to Tail Variance Premium with Applications for Elliptical Portfolio of Risks (Q3632844):
Displaying 50 items.
- Minimization of a function of a quadratic functional with application to optimal portfolio selection (Q306327) (← links)
- On extension of some identities for the bias and risk functions in elliptically contoured distributions (Q391881) (← links)
- On some layer-based risk measures with applications to exponential dispersion models (Q609700) (← links)
- Estimating the conditional tail expectation in the case of heavy-tailed losses (Q609705) (← links)
- Asymptotics for risk capital allocations based on conditional tail expectation (Q654806) (← links)
- Comparing tail variabilities of risks by means of the excess wealth order (Q659172) (← links)
- Multivariate Tweedie distributions and some related capital-at-risk analyses (Q659235) (← links)
- On the tail mean-variance optimal portfolio selection (Q659265) (← links)
- The tail behavior of the convolutions of Gamma random variables (Q710804) (← links)
- Schur properties of convolutions of gamma random variables (Q889154) (← links)
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions (Q896761) (← links)
- Weighted premium calculation principles (Q939390) (← links)
- On a multivariate gamma distribution (Q951178) (← links)
- Weighted risk capital allocations (Q974815) (← links)
- A multivariate tail covariance measure for elliptical distributions (Q1667406) (← links)
- A note on conditional covariance matrices for elliptical distributions (Q1687219) (← links)
- Tail variance of portfolio under generalized Laplace distribution (Q1731080) (← links)
- Optimal capital allocation based on the tail mean-variance model (Q2015620) (← links)
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution (Q2015636) (← links)
- The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution (Q2034147) (← links)
- Sensitivity analysis and tail variability for the Wang's actuarial index (Q2034162) (← links)
- On the estimation of the variability in the distribution tail (Q2074679) (← links)
- Multivariate tail covariance risk measure for generalized skew-elliptical distributions (Q2122044) (← links)
- Multivariate matrix-exponential affine mixtures and their applications in risk theory (Q2172057) (← links)
- Stochastic comparisons of distorted variability measures (Q2276253) (← links)
- A composition between risk and deviation measures (Q2288942) (← links)
- On log-normal convolutions: an analytical-numerical method with applications to economic capital determination (Q2292186) (← links)
- The Minkowski length of a spherical random vector (Q2322676) (← links)
- Tail conditional moments for elliptical and log-elliptical distributions (Q2374109) (← links)
- Risk measures in a quantile regression credibility framework with Fama/French data applications (Q2397859) (← links)
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
- On a family of risk measures based on proportional hazards models and tail probabilities (Q2415980) (← links)
- Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component (Q2427811) (← links)
- A characterization of optimal portfolios under the tail mean-variance criterion (Q2442517) (← links)
- Tail variance premiums for log-elliptical distributions (Q2443222) (← links)
- Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure (Q2444715) (← links)
- Capital allocation based on the tail covariance premium adjusted (Q2513449) (← links)
- Credible risk measures with applications in actuarial sciences and finance (Q2520466) (← links)
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995) (← links)
- Modality for scenario analysis and maximum likelihood allocation (Q2657014) (← links)
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (Q2665868) (← links)
- Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109) (← links)
- Optimal capital allocation for individual risk model using a mean-variance principle (Q2691447) (← links)
- Conditional Tail Moments of the Exponential Family and Its Related Distributions (Q3088974) (← links)
- A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited (Q3385437) (← links)
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks (Q3634593) (← links)
- Extended Gini-Type Measures of Risk and Variability (Q4562725) (← links)
- ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (Q4563733) (← links)
- A Theory for Measures of Tail Risk (Q4958558) (← links)
- “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007 (Q5019760) (← links)
