Tail Variance Premium with Applications for Elliptical Portfolio of Risks
From MaRDI portal
Publication:3632844
DOI10.2143/AST.36.2.2017929zbMath1162.91373OpenAlexW4236377596MaRDI QIDQ3632844
Edward Furman, Zinoviy Landsman
Publication date: 15 June 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.36.2.2017929
Related Items
Multivariate tail covariance risk measure for generalized skew-elliptical distributions, Tail Moments of Compound Distributions, Tail conditional moments for elliptical and log-elliptical distributions, Minimization of a function of a quadratic functional with application to optimal portfolio selection, The risk of tensor Stein-rules in elliptically contoured distributions, Extended Gini-Type Measures of Risk and Variability, ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS, Risk measures in a quantile regression credibility framework with Fama/French data applications, Tail variance for Generalized Skew-Elliptical distributions, Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type, Modality for scenario analysis and maximum likelihood allocation, A multivariate tail covariance measure for elliptical distributions, Multivariate matrix-exponential affine mixtures and their applications in risk theory, Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation, On some layer-based risk measures with applications to exponential dispersion models, Estimating the conditional tail expectation in the case of heavy-tailed losses, Risk aggregation and capital allocation using a new generalized Archimedean copula, On extension of some identities for the bias and risk functions in elliptically contoured distributions, Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions, On a family of risk measures based on proportional hazards models and tail probabilities, Schur properties of convolutions of gamma random variables, Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement, A note on conditional covariance matrices for elliptical distributions, Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions, Asymptotic results on tail moment for light-tailed risks, Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component, Up- and down-correlations in normal variance mixture models, Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?, Asymptotic results on tail moment and tail central moment for dependent risks, Tail variance allocation, Shapley value, and the majorization problem, Optimal capital allocation for individual risk model using a mean-variance principle, A characterization of optimal portfolios under the tail mean-variance criterion, Tail variance premiums for log-elliptical distributions, The Tail Stein's Identity with Applications to Risk Measures, Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure, Asymptotics for risk capital allocations based on conditional tail expectation, Comparing tail variabilities of risks by means of the excess wealth order, Multivariate Tweedie distributions and some related capital-at-risk analyses, On the tail mean-variance optimal portfolio selection, Tail variance of portfolio under generalized Laplace distribution, Weighted premium calculation principles, On a multivariate gamma distribution, Weighted risk capital allocations, Optimal capital allocation based on the tail mean-variance model, Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution, The tail behavior of the convolutions of Gamma random variables, Stochastic comparisons of distorted variability measures, The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution, Sensitivity analysis and tail variability for the Wang's actuarial index, Capital allocation based on the tail covariance premium adjusted, A composition between risk and deviation measures, Agricultural Insurance Ratemaking: Development of a New Premium Principle, A Theory for Measures of Tail Risk, On log-normal convolutions: an analytical-numerical method with applications to economic capital determination, Credible risk measures with applications in actuarial sciences and finance, A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited, Economic Capital Allocations for Non-negative Portfolios of Dependent Risks, Conditional Tail Moments of the Exponential Family and Its Related Distributions, On the estimation of the variability in the distribution tail, The Minkowski length of a spherical random vector, Tail conditional moment for generalized skew-elliptical distributions, “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
Cites Work
- Unnamed Item
- On the theory of elliptically contoured distributions
- Tail dependence for elliptically contoured distributions
- On the generalization of Stein's lemma for elliptical class of distributions
- Coherent Measures of Risk
- Bayesian Inference Based on Robust Priors and MML Estimators: Part I, Symmetric Location-Scale Distributions
- Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
- Financial Data Analysis with Two Symmetric Distributions
- A Universal Framework for Pricing Financial and Insurance Risks
- Relative Importance of Risk Sources in Insurance Systems
- An Actuarial Index of the Right-Tail Risk
