A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures

DOI10.1016/J.INSMATHECO.2021.08.011zbMath1475.91403OpenAlexW3197975201MaRDI QIDQ2665869

Katja Ignatieva, Zinoviy Landsman

Publication date: 19 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.08.011

zbMATH Keywords

tail conditional expectationportfolio allocationconditional tail risk measuresgeneralised hyper-elliptical (GHE) distributionsgeneralised inverse Gaussian distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks

Uses Software

• QRM
• RiskMetrics

Cites Work

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