Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
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Cites work
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Cited in
(8)- Empirical tail conditional allocation and its consistency under minimal assumptions
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Tail maximal dependence in bivariate models: estimation and applications
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Estimating the VaR-induced Euler allocation rule
- Testing for auto-calibration with Lorenz and concentration curves
- Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
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