On the generalization of Esscher and variance premiums modified for the elliptical family of distributions

DOI10.1016/J.INSMATHECO.2004.07.006zbMATH Open1081.62090OpenAlexW2056422505MaRDI QIDQ2485528FDOQ2485528

Authors: Zinoviy Landsman 

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.006

Recommendations

• Elliptical families and copulas: tilting and premium; capital allocation
• Tail variance premiums for log-elliptical distributions
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Skew-elliptical distributions with applications in risk theory
• VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

zbMATH Keywords

Elliptical tiltingGeneralized Esscher premiumGeneralized variance premium

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• Semi-parametric modelling in finance: theoretical foundations
• Bayesian Inference Based on Robust Priors and MML Estimators: Part I, Symmetric Location-Scale Distributions

Cited In (13)

• A new class of symmetric distributions including the elliptically symmetric logistic
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Multivariate tail conditional expectation for elliptical distributions
• Elliptical families and copulas: tilting and premium; capital allocation
• Tail variance premiums for log-elliptical distributions
• An actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets
• Stein's lemma for truncated elliptical random vectors
• On the tail mean-variance optimal portfolio selection
• \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
• “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• Skew-elliptical distributions with applications in risk theory
• Portfolio selection through an extremality stochastic order

This page was built for publication: On the generalization of Esscher and variance premiums modified for the elliptical family of distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485528)