Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions |
scientific article |
Statements
Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (English)
0 references
23 May 2019
0 references
conditional tail expectation
0 references
risk allocation
0 references
conditional tail variance
0 references
normal mean-variance mixture
0 references
generalized hyperbolic distribution
0 references
