Conditional tail risk measures for the skewed generalised hyperbolic family
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Cites work
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- A new look at the statistical model identification
- Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
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- An optimization approach to the dynamic allocation of economic capital
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- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
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- Bounds and approximations for sums of dependent log-elliptical random variables
- Capital allocation for Sarmanov's class of distributions
- Conditional tail expectations for multivariate phase-type distributions
- Conditional Tail Moments of the Exponential Family and Its Related Distributions
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 3962966 (Why is no real title available?)
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
- Intermediate Probability
- Modeling loss data using mixtures of distributions
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Cited in
(16)- On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
- Linking Tukey's legacy to financial risk measurement
- Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
- On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
- Tail conditional risk measures for location-scale mixture of elliptical distributions
- TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS
- Tail conditional moment for generalized skew-elliptical distributions
- Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
- Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
- Tail variance for generalised hyper-elliptical models
- Estimates for systemic risk measures in the presence of heavy tails
- Quantifying extreme risks in high-frequency financial, energy, and commodity markets
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
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