Conditional Tail Moments of the Exponential Family and Its Related Distributions
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Publication:3088974
DOI10.1080/10920277.2010.10597585zbMATH Open1219.91071OpenAlexW2096810383MaRDI QIDQ3088974FDOQ3088974
Authors: Joseph H. T. Kim 
Publication date: 23 August 2011
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2010.10597585
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Cited In (27)
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- Tail conditional moment for generalized skew-elliptical distributions
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- Asymptotic results on tail moment for light-tailed risks
- Tail conditional moments for elliptical and log-elliptical distributions
- Tail conditional expectation for the bivariate Pareto distribution of first kind
- On some layer-based risk measures with applications to exponential dispersion models
- The tail Stein's identity with applications to risk measures
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
- Asymptotic results on tail moment and tail central moment for dependent risks
- Credibility theory based on trimming
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Tail conditional risk measures for location-scale mixture of elliptical distributions
- Title not available (Why is that?)
- Tail Conditional Expectations for Exponential Dispersion Models
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
- On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
- Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
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- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Bias correction for estimated distortion risk measure using the bootstrap
- Conditional tail expectations for multivariate phase-type distributions
- Conditional tail expectation and premium calculation
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks
- Conditional tail risk measures for the skewed generalised hyperbolic family
- TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS
- The generalized exponential family of distributions and its characteristics
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