Multivariate tail conditional expectation for elliptical distributions
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Cites work
- scientific article; zbMATH DE number 417563 (Why is no real title available?)
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 5065241 (Why is no real title available?)
- A Black-Litterman asset allocation model under elliptical distributions
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Conditional tail expectations for multivariate phase-type distributions
- Consistent risk measures for portfolio vectors
- Estimation of the marginal expected shortfall: the mean when a related variable is extreme
- Loss models. From data to decisions
- Multivariate risk measures: a constructive approach based on selections
- On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
- Quantitative risk management. Concepts, techniques and tools
- Some families of the Hurwitz-Lerch zeta functions and associated fractional derivative and other integral representations
- Tail Conditional Expectations for Elliptical Distributions
- Tail Conditional Expectations for Exponential Dispersion Models
- Tail VaR measures in a multi-period setting
- Tail mean and related robust solution concepts
- Vector-valued coherent risk measures
- Wang's capital allocation formula for elliptically contoured distributions.
Cited in
(35)- TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS
- Tail conditional expectation for the bivariate Pareto distribution of first kind
- Multivariate doubly truncated moments for generalized skew-elliptical distributions with applications
- Multivariate tail covariance risk measure for generalized skew-elliptical distributions
- Tail conditional moments for elliptical and log-elliptical distributions
- A new coherent multivariate average-value-at-risk
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- Stein’s Lemma for generalized skew-elliptical random vectors
- Tail mean-variance portfolio selection with estimation risk
- Tail conditional risk measures for location-scale mixture of elliptical distributions
- Tail asymptotic results for elliptical distributions
- Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Asymptotics of multivariate conditional risk measures for Gaussian risks
- On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
- A multivariate CVaR risk measure from the perspective of portfolio risk management
- Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions
- The location of a minimum variance squared distance functional
- A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation
- Multivariate tail conditional expectation for scale mixtures of skew-normal distribution
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Skew-elliptical distributions with applications in risk theory
- Unified and non-recursive formulas for moments of the normal distribution with stripe truncation
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- A new class of multivariate elliptically contoured distributions with inconsistency property
- Multivariate elliptical truncated moments
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions
- Tail conditional variance for elliptically contoured distributions
- A multivariate tail covariance measure for elliptical distributions
- Stein's lemma for truncated elliptical random vectors
- Approximation of some multivariate risk measures for Gaussian risks
- Bivariate tail conditional co-expectation for elliptical distributions
- Up- and down-correlations in normal variance mixture models
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