A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
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Publication:2665869
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Cites work
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- A new look at the statistical model identification
- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
- Bounds and approximations for sums of dependent log-elliptical random variables
- Capital allocation for Sarmanov's class of distributions
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Estimating tails of probability 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?)
- Intermediate Probability
- Modeling loss data using mixtures of distributions
- ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
- On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation
- On some properties of a class of multivariate Erlang mixtures with insurance applications
- Quantitative risk management. Concepts, techniques and tools
- Skew mixture models for loss distributions: a Bayesian approach
- Statistical inference using extreme order statistics
- Tail Conditional Expectations for Elliptical Distributions
Cited in
(15)- Efficient simulation of tail probabilities for sums of log-elliptical risks
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Multivariate tail conditional expectation for elliptical distributions
- Nonparametric Risk Management With Generalized Hyperbolic Distributions
- Tail conditional moment for generalized skew-elliptical distributions
- 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
- Introducing a family of distributions by using the class of normal mean-variance mixture
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
- The asymptotic behavior of tail moments for light-tailed risks with Sarmanov dependence structure
- The principle of a single big jump from the perspective of tail moment risk measure
- Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
- Tail variance for generalised hyper-elliptical models
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
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