Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution
\(t\) distributionAkaike information criterionBayesian information criterionBirnbaum-Saunders distributioncoherenceEM algorithmentropic measuresEsscher premiumexceeding ratiogeneralized hyperbolic distributiongeneralized inverse Gaussian distributionJarque-Bera testKolmogorov-Smirnov testkurtosislog-returnslower partial momentmaximized likelihood estimationmean absolute relative errormodified Bessel functionmoment generating functionnormal distributionnormal mean-variance Birnbaum-Saunders distributionnormal-inverse Gaussian distributionportfolioprobability of outperformanceprobability of shortfallrisk measuresskew-\(t\) distributionskew-normal distributionstock market returnstail-value at risktarget shortfallvalue at risk
- Estimation of the mean value for the normal distribution with constraints on d-risk
- Risk behavior of variance estimators in multivariate normal distribution
- Risk measures for skew normal mixtures
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- The skew normal multivariate risk measurement framework
- The robustness of mean and variance approximations in risk analysis
- A method of calculating the downside risk by multivariate nonnormal distributions
- A comparison of generalized hyperbolic distribution models for equity returns
- A new family of life distributions
- A Test for Normality of Observations and Regression Residuals
- Coherent measures of risk
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
- Estimating the dimension of a model
- Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
- Flexible mixture modelling using the multivariate skew-\(t\)-normal distribution
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- Maximum likelihood inference for mixtures of skew Student-\(t\)-normal distributions through practical EM-type algorithms
- Model-based clustering and classification with non-normal mixture distributions
- Multivariate normal mean-variance mixture distribution based on Birnbaum-Saunders distribution
- Multivariate skew-normal distributions with applications in insurance
- Non-separation in the mean -- lower-partial-moment portfolio optimization problem
- Nonlinear regression models based on the normal mean-variance mixture of Birnbaum-Saunders distribution
- On the Relationship between Two Fatigue-Life Models
- Risk measures for skew normal mixtures
- Skew-elliptical distributions with applications in risk theory
- Table for Estimating the Goodness of Fit of Empirical Distributions
- THE POPULATION FREQUENCIES OF SPECIES AND THE ESTIMATION OF POPULATION PARAMETERS
- Unsupervised mixture estimation via approximate maximum likelihood based on the Cramér-von Mises distance
- Multivariate measurement error models with normal mean-variance mixture distributions
- Estimation and model selection of heterogeneous mixture distributions: an ECME algorithm-based approach
- Moments of doubly truncated multivariate normal mean-mixture distributions
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