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

DOI10.1016/J.INSMATHECO.2004.07.006MaRDI QIDQ2485528zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3354336 (Why is no real title available?)
• Bayesian Inference Based on Robust Priors and MML Estimators: Part I, Symmetric Location-Scale Distributions
• Semi-parametric modelling in finance: theoretical foundations

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
• Stein's lemma for truncated elliptical random vectors
• An actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets
• 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

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