Asymptotic Analysis of Multivariate Tail Conditional Expectations
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Publication:5168697
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Cites work
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Coherent measures of risk
- Computation of multivariate normal and \(t\) probabilities
- Conditional tail expectations for multivariate phase-type distributions
- Diversification of aggregate dependent risks
- Heavy-Tail Phenomena
- Orthant tail dependence of multivariate extreme value distributions
- Stochastic orders
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
- Tail dependence for multivariate copulas and its monotonicity
- Tail dependence functions and vine copulas
- Tail risk of multivariate regular variation
Cited in
(41)- Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
- Tail conditional expectation for the bivariate Pareto distribution of first kind
- Tail Conditional Expectations for Exponential Dispersion Models
- Asymptotic results on tail moment for light-tailed risks
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- Conditional tail expectations for multivariate phase-type distributions
- Varying confidence levels for CVaR risk measures and minimax limits
- Tail conditional expectation for multivariate distributions: a game theory approach
- Toward a copula theory for multivariate regular variation
- Asymptotic results on marginal expected shortfalls for dependent risks
- Risk contagion under regular variation and asymptotic tail independence
- Empirical tail conditional allocation and its consistency under minimal assumptions
- On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
- Higher order tail densities of copulas and hidden regular variation
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Tail densities of skew-elliptical distributions
- Fast accurate algorithms for tail conditional expectation
- Strength of tail dependence based on conditional tail expectation
- Conditional excess risk measures and multivariate regular variation
- Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
- First and second order asymptotics of the spectral risk measure for portfolio loss under multivariate regular variation
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
- Asymptotic analysis of simultaneous damages in spatial Boolean models
- Asymptotic results on tail moment and tail central moment for dependent risks
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- Optimal capital allocation based on the tail mean-variance model
- Multivariate regularly varying insurance and financial risks in multidimensional risk models
- Second-order properties of tail probabilities of sums and randomly weighted sums
- Second order regular variation and conditional tail expectation of multiple risks
- Tail risk of multivariate regular variation
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
- Extremes for coherent risk measures
- Tails of higher-order moments with dominatedly varying summands
- Asymptotics for risk capital allocations based on conditional tail expectation
- Conditional risk measures in a bipartite market structure
- Tail behavior of weighted sums of order statistics of dependent risks
- Dependence in a background risk model
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