Tail Conditional Expectations for Exponential Dispersion Models

DOI10.2143/AST.35.1.583172MaRDI QIDQ5490585zbMATH OpenOpenAlexFDO

Authors Zinoviy Landsman, Emiliano A. Valdez

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.35.1.583172

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Coherent measures of risk

Cited in

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• A gamma kernel density estimation for insurance loss data
• On a family of coherent measures of variability
• MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Bounds for some general sums of random variables
• Credible risk measures with applications in actuarial sciences and finance
• Multivariate tail conditional expectation for elliptical distributions
• Risk measures in a quantile regression credibility framework with Fama/French data applications
• A characterization of optimal portfolios under the tail mean-variance criterion
• Tail variance premiums for log-elliptical distributions
• Conditional Tail Moments of the Exponential Family and Its Related Distributions
• Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Tail conditional expectation for multivariate distributions: a game theory approach
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• On the tail mean-variance optimal portfolio selection
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• Weighted Pricing Functionals With Applications to Insurance
• Credibility theory based on trimming
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Multivariate skew-normal distributions with applications in insurance
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
• A multivariate Tweedie lifetime model: censoring and truncation
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
• scientific article; zbMATH DE number 7148146 (Why is no real title available?)
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
• Multivariate tail conditional expectation for scale mixtures of skew-normal distribution
• Multivariate lifetime distributions for the exponential dispersion family
• Risk capital decomposition for a multivariate dependent gamma portfolio
• Conditional tail risk measures for the skewed generalised hyperbolic family
• A capital allocation based on a solvency exchange option

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