Conditional Tail Moments of the Exponential Family and Its Related Distributions

DOI10.1080/10920277.2010.10597585MaRDI QIDQ3088974zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Hyperbolic distributions in finance
• On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation
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• Tail Conditional Expectations for Exponential Dispersion Models
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Cited in

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• The generalized exponential family of distributions and its characteristics
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
• Tail conditional moment for generalized skew-elliptical distributions
• 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
• scientific article; zbMATH DE number 91794 (Why is no real title available?)
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
• 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
• scientific article; zbMATH DE number 3881571 (Why is no real title available?)
• 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
• Conditional tail risk measures for the skewed generalised hyperbolic family
• Asymptotics of the loss-based tail risk measures in the presence of extreme risks
• TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS

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