Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions

DOI10.1016/J.INSMATHECO.2019.02.010zbMath1411.91293OpenAlexW2918627744WikidataQ128287467 ScholiaQ128287467MaRDI QIDQ2415974

So-Yeun Kim, Joseph H. T. Kim

Publication date: 23 May 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.02.010

zbMATH Keywords

conditional tail expectationrisk allocationgeneralized hyperbolic distributionconditional tail variancenormal mean-variance mixture

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (8)

Multivariate tail covariance risk measure for generalized skew-elliptical distributions ⋮ Stein's lemma for truncated generalized skew-elliptical random vectors ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ Capital allocation with multivariate convex risk measures ⋮ Tail conditional risk measures for location-scale mixture of elliptical distributions

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