Tail conditional moments for elliptical and log-elliptical distributions

DOI10.1016/J.INSMATHECO.2016.09.001zbMath1371.60041OpenAlexW2521334532MaRDI QIDQ2374109

Tomer Shushi, Zinoviy Landsman, Udi E. Makov

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.09.001

zbMATH Keywords

elliptical distributionstail variancetail conditional expectationlog-elliptical distributionstail conditional moments

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05)

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Cites Work

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• Bayesian Inference Based on Robust Priors and MML Estimators: Part I, Symmetric Location-Scale Distributions
• Multivariate T-Distributions and Their Applications
• Tail Conditional Expectations for Elliptical Distributions

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