Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
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Cites work
- scientific article; zbMATH DE number 5604057 (Why is no real title available?)
- scientific article; zbMATH DE number 699423 (Why is no real title available?)
- scientific article; zbMATH DE number 1484400 (Why is no real title available?)
- scientific article; zbMATH DE number 1491694 (Why is no real title available?)
- Coherent measures of risk
- Coherent risk measures, coherent capital allocations and the gradient allocation principle
- Economic Capital Allocation Derived from Risk Measures
- Extreme Value Theory as a Risk Management Tool
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Some properties and characterizations for generalized multivariate Pareto distributions
- Tail Conditional Expectations for Exponential Dispersion Models
- Weighted premium calculation principles
Cited in
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- Choice of Copulas in Explaining Stock Market Contagion
- Simple risk measure calculations for sums of positive random variables
- Tail conditional variance for elliptically contoured distributions
- Asymptotics for risk capital allocations based on conditional tail expectation
- Weighted risk capital allocations in the presence of systematic risk
- Tail conditional expectation for the bivariate Pareto distribution of first kind
- The joint distribution of the sum and the maximum of heterogeneous exponential random variables
- The joint distribution of the sum and maximum of dependent Pareto risks
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Tail conditional expectation for multivariate distributions: a game theory approach
- On some layer-based risk measures with applications to exponential dispersion models
- On a multivariate Pareto distribution
- Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
- A form of multivariate Pareto distribution with applications to financial risk measurement
- Multiple risk factor dependence structures: distributional properties
- Background risk models and stepwise portfolio construction
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Tail Conditional Expectations for Exponential Dispersion Models
- Conditional tail expectations for multivariate phase-type distributions
- A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
- Capital allocation for Sarmanov's class of distributions
- Lifetime dependence models generated by multiply monotone functions
- Multivariate distributions with time and cross-dependence: aggregation and capital allocation
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
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