Conditional tail risk measures for the skewed generalised hyperbolic family
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Publication:2415969
DOI10.1016/j.insmatheco.2019.02.008zbMath1411.91510OpenAlexW2919331691MaRDI QIDQ2415969
Katja Ignatieva, Zinoviy Landsman
Publication date: 23 May 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.02.008
tail conditional expectationgeneralized inverse Gaussian distributionportfolio allocationconditional tail risk measuresskewed generalised hyperbolic distributions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory of statistical distributions (62E10) Portfolio theory (91G10)
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