Multivariate tail conditional expectation for elliptical distributions
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Cites work
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- Tail Conditional Expectations for Exponential Dispersion Models
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Cited in
(43)- Stein's lemma for truncated elliptical random vectors
- A multivariate tail covariance measure for elliptical distributions
- Skew-elliptical distributions with applications in risk theory
- Approximation of some multivariate risk measures for Gaussian risks
- A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation
- A new class of multivariate elliptically contoured distributions with inconsistency property
- Multivariate tail covariance risk measure for generalized skew-elliptical distributions
- The location of a minimum variance squared distance functional
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- Tail conditional moments for elliptical and log-elliptical distributions
- Multivariate elliptical truncated moments
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Asymptotics of multivariate conditional risk measures for Gaussian risks
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- Tail conditional expectation for the bivariate Pareto distribution of first kind
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- Tail conditional variance for elliptically contoured distributions
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- A multivariate CVaR risk measure from the perspective of portfolio risk management
- Stein’s Lemma for generalized skew-elliptical random vectors
- Unified and non-recursive formulas for moments of the normal distribution with stripe truncation
- Multivariate tail conditional expectation for scale mixtures of skew-normal distribution
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions
- A new coherent multivariate average-value-at-risk
- Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions
- Up- and down-correlations in normal variance mixture models
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- Estimates for systemic risk measures in the presence of heavy tails
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- Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
- Tail asymptotic results for elliptical distributions
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