Pages that link to "Item:Q5715937"

The following pages link to Tail Conditional Expectations for Elliptical Distributions (Q5715937):

Displaying 50 items.

• Mixtures of multivariate power exponential distributions (Q130991) (← links)
• On multivariate countermonotonic copulas and their actuarial application (Q323616) (← links)
• On extension of some identities for the bias and risk functions in elliptically contoured distributions (Q391881) (← links)
• A note on Stein's lemma for multivariate elliptical distributions (Q394113) (← links)
• A method of moments estimator of tail dependence in meta-elliptical models (Q419290) (← links)
• Tail risk of multivariate regular variation (Q429988) (← links)
• An improved closed-form solution for the constrained minimization of the root of a quadratic functional (Q442731) (← links)
• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation (Q495473) (← links)
• Multivariate countermonotonicity and the minimal copulas (Q508035) (← links)
• On some layer-based risk measures with applications to exponential dispersion models (Q609700) (← links)
• Estimating the conditional tail expectation in the case of heavy-tailed losses (Q609705) (← links)
• Optimality of general reinsurance contracts under CTE risk measure (Q634001) (← links)
• Asymptotics for risk capital allocations based on conditional tail expectation (Q654806) (← links)
• Projection pursuit through \(\varphi \)-divergence minimisation (Q657477) (← links)
• Correlation order, merging and diversification (Q659149) (← links)
• TVaR-based capital allocation with copulas (Q659153) (← links)
• Multivariate Tweedie distributions and some related capital-at-risk analyses (Q659235) (← links)
• On the tail mean-variance optimal portfolio selection (Q659265) (← links)
• Long-tail longitudinal modeling of insurance company expenses (Q661252) (← links)
• On multivariate extensions of conditional-tail-expectation (Q743166) (← links)
• Moments of truncated scale mixtures of skew-normal distributions (Q783269) (← links)
• Risk capital decomposition for a multivariate dependent gamma portfolio (Q817298) (← links)
• Conditional marginal expected shortfall (Q826003) (← links)
• A discussion of probability functions and constraints from a variational perspective (Q829489) (← links)
• Option pricing for log-symmetric distributions of returns (Q835680) (← links)
• Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure (Q882470) (← links)
• Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions (Q896761) (← links)
• Quantile of a mixture with application to model risk assessment (Q906348) (← links)
• Minimization of the root of a quadratic functional under an affine equality constraint (Q929931) (← links)
• Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management (Q939577) (← links)
• Estimating conditional tail expectation with actuarial applications in view (Q947261) (← links)
• Multivariate distributions defined in terms of contours (Q951083) (← links)
• Local dependence functions for some families of bivariate distributions and total positivity (Q972175) (← links)
• Weighted risk capital allocations (Q974815) (← links)
• Risk measurement in the presence of background risk (Q998264) (← links)
• Heavy-tailed longitudinal data modeling using copulas (Q998301) (← links)
• Some results on the CTE-based capital allocation rule (Q998305) (← links)
• A capital allocation based on a solvency exchange option (Q1023096) (← links)
• Bounds and approximations for sums of dependent log-elliptical random variables (Q1023100) (← links)
• Wang's capital allocation formula for elliptically contoured distributions. (Q1423336) (← links)
• When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (Q1640042) (← links)
• Index tracking model, downside risk and non-parametric kernel estimation (Q1657610) (← links)
• A multivariate tail covariance measure for elliptical distributions (Q1667406) (← links)
• A note on conditional covariance matrices for elliptical distributions (Q1687219) (← links)
• Skew-elliptical distributions with applications in risk theory (Q1707559) (← links)
• Tail variance of portfolio under generalized Laplace distribution (Q1731080) (← links)
• Goodness-of-fit tests for elliptical and independent copulas through projection pursuit (Q1736481) (← links)
• An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (Q1742712) (← links)
• Global dependence stochastic orders (Q1930622) (← links)
• Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms (Q1985288) (← links)