Tail conditional expectation for multivariate distributions: a game theory approach

DOI10.1016/J.SPL.2013.06.012zbMath1286.91061OpenAlexW1971219272MaRDI QIDQ2435742

S. Zahra Hosseinifard, Babak Abbasi

Publication date: 19 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.06.012

zbMATH Keywords

multivariate distributionstail conditional expectationShapley valuescoherent risk

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Cooperative games (91A12)

Related Items (5)

Variance allocation and Shapley value ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ On the comparison of Shapley values for variance and standard deviation games ⋮ On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation ⋮ Pooling Risk Games

Cites Work

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• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Coherent Measures of Risk
• Asymptotic Analysis of Multivariate Tail Conditional Expectations
• Tail Conditional Expectations for Exponential Dispersion Models
• Tail Conditional Expectations for Elliptical Distributions

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