Asymptotic results on tail moment for light-tailed risks
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Cites work
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- A property of the generalized inverse Gaussian distribution with some applications
- Aggregation of rapidly varying risks and asymptotic independence
- An asymptotic study of systemic expected shortfall and marginal expected shortfall
- An introduction to copulas.
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
- Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
- Asymptotic results on marginal expected shortfalls for dependent risks
- Asymptotics for a discrete-time risk model with the emphasis on financial risk
- Asymptotics for risk capital allocations based on conditional tail expectation
- Asymptotics of convolution with the semi-regular-variation tail and its application to risk
- Conditional risk measures in a bipartite market structure
- Conditional tail expectations for multivariate phase-type distributions
- Conditional Tail Moments of the Exponential Family and Its Related Distributions
- Convolution equivalence and infinite divisibility
- Convolution equivalent Lévy processes and first passage times
- Convolution tails, product tails and domains of attraction
- ECOMOR and LCR reinsurance with gamma-like claims
- Empirical properties of asset returns: stylized facts and statistical issues
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
- scientific article; zbMATH DE number 4030594 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Interplay of financial and insurance risks in dependent discrete-time risk models
- Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
- On a closure property of convolution equivalent class of distributions
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
- Risk aggregation and capital allocation using a new generalized Archimedean copula
- Ruin probabilities
- Second order regular variation and conditional tail expectation of multiple risks
- Subexponential distributions and integrated tails
- Tail conditional moments for elliptical and log-elliptical distributions
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Tail risk of multivariate regular variation
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
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