Pages that link to "Item:Q5715937"
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The following pages link to Tail Conditional Expectations for Elliptical Distributions (Q5715937):
Displaying 50 items.
- Optimal capital allocation based on the tail mean-variance model (Q2015620) (← links)
- A gamma kernel density estimation for insurance loss data (Q2015623) (← 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)
- Tail dependence and heavy tailedness in extreme risks (Q2038251) (← links)
- A new class of multivariate elliptically contoured distributions with inconsistency property (Q2065475) (← links)
- Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution (Q2078582) (← links)
- Stein's lemma for truncated generalized skew-elliptical random vectors (Q2129966) (← links)
- Remarks on a generalized inverse Gaussian type integral with applications (Q2148080) (← links)
- The location of a minimum variance squared distance functional (Q2155839) (← links)
- Semi-parametric estimation of the quintile share ratio index of inequality measure for heavy-tailed income distributions with index in the upper half of the unit interval (Q2161485) (← links)
- Gradient formulae for probability functions depending on a heterogenous family of constraints (Q2165587) (← links)
- Portfolio optimization by a bivariate functional of the mean and variance (Q2178898) (← links)
- On a family of coherent measures of variability (Q2212171) (← links)
- A multi-year microlevel collective risk model (Q2234768) (← links)
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation (Q2241122) (← links)
- A note on classical Stein-type estimators in elliptically contoured models (Q2266890) (← links)
- Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital (Q2290401) (← links)
- Conditional excess risk measures and multivariate regular variation (Q2291755) (← links)
- The Minkowski length of a spherical random vector (Q2322676) (← links)
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (Q2364013) (← links)
- Extended generalized skew-elliptical distributions and their moments (Q2364051) (← links)
- Tail conditional moments for elliptical and log-elliptical distributions (Q2374109) (← links)
- Optimal portfolio of safety-first models (Q2390455) (← links)
- Moments of truncated normal/independent distributions (Q2392697) (← links)
- Eventual convexity of probability constraints with elliptical distributions (Q2414898) (← links)
- Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
- A closed-form solution of the Black-Litterman model with conditional value at risk (Q2417059) (← links)
- Excess based allocation of risk capital (Q2427804) (← links)
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830) (← links)
- Tail conditional expectation for multivariate distributions: a game theory approach (Q2435742) (← links)
- A characterization of optimal portfolios under the tail mean-variance criterion (Q2442517) (← links)
- Portfolio selection through an extremality stochastic order (Q2444701) (← links)
- Credibility theory based on trimming (Q2445989) (← links)
- Calculation of Bayes premium for conditional elliptical risks (Q2447418) (← links)
- Stein's lemma for elliptical random vectors (Q2482135) (← links)
- Stochastic ordering of bivariate elliptical distributions (Q2489818) (← links)
- Copula credibility for aggregate loss models (Q2492180) (← links)
- Multivariate skew-normal distributions with applications in insurance (Q2492184) (← links)
- On the generalization of Stein's lemma for elliptical class of distributions (Q2493870) (← links)
- Multivariate tail conditional expectation for elliptical distributions (Q2520449) (← links)
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (Q2665868) (← links)
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures (Q2665869) (← links)
- Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109) (← links)
- Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113) (← links)
- Derivatives of probability functions: unions of polyhedra and elliptical distributions (Q2670977) (← links)
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants (Q2682987) (← links)
- On the distortion of a copula and its margins (Q2866292) (← links)
- Worst-case robust design optimization under distributional assumptions (Q2894842) (← links)