Tail variance premiums for log-elliptical distributions (Q2443222): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.insmatheco.2013.02.012
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@@ Property / OpenAlex ID @@
+W1971514697
@@ Property / OpenAlex ID: W1971514697 / rank @@
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@@ Property / cites work @@
+The concept of comonotonicity in actuarial science and finance: theory.
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+The concept of comonotonicity in actuarial science and finance: applications.
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+Some results on the CTE-based capital allocation rule
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+Risk Measures and Comonotonicity: A Review
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+Q3996150
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@@ Property / cites work @@
+Tail Variance Premium with Applications for Elliptical Portfolio of Risks
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+Upper and lower bounds for sums of random variables
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+Q5628978
@@ Property / cites work: Q5628978 / rank @@
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@@ Property / cites work @@
+Tail Conditional Expectations for Exponential Dispersion Models
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+Bounds and approximations for sums of dependent log-elliptical random variables
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+Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
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