Tail conditional moments for elliptical and log-elliptical distributions
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Publication:2374109
DOI10.1016/j.insmatheco.2016.09.001zbMath1371.60041OpenAlexW2521334532MaRDI QIDQ2374109
Tomer Shushi, Zinoviy Landsman, Udi E. Makov
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.09.001
elliptical distributionstail variancetail conditional expectationlog-elliptical distributionstail conditional moments
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- Multivariate T-Distributions and Their Applications
- Tail Conditional Expectations for Elliptical Distributions
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