A multivariate tail covariance measure for elliptical distributions

DOI10.1016/j.insmatheco.2018.04.002zbMath1398.62132OpenAlexW2800478452WikidataQ129915498 ScholiaQ129915498MaRDI QIDQ1667406

Tomer Shushi, Zinoviy Landsman, Udi E. Makov

Publication date: 28 August 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.04.002

zbMATH Keywords

elliptical distributionsmultivariate risk measurestail variancemultivariate tail conditional expectationmultivariate tail covariancetail confidence ellipsoid

Mathematics Subject Classification ID

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Cites Work

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• Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
• Some families of the Hurwitz-Lerch zeta functions and associated fractional derivative and other integral representations
• Tail conditional moments for elliptical and log-elliptical distributions
• Multivariate tail conditional expectation for elliptical distributions
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Tail Conditional Expectations for Elliptical Distributions

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