Asymptotics for risk capital allocations based on conditional tail expectation
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Cites work
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Cited in
(66)- On the Haezendonck-Goovaerts risk measure for extreme risks
- Paths and indices of maximal tail dependence
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- GlueVaR risk measures in capital allocation applications
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
- Estimation of multivariate conditional-tail-expectation using Kendall's process
- On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
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- Non-parametric estimation of conditional tail expectation for long-horizon returns
- Randomly weighted sums of subexponential random variables with application to capital allocation
- On the distribution of a sum of Sarmanov distributed random variables
- Simple risk measure calculations for sums of positive random variables
- Second order regular variation and conditional tail expectation of multiple risks
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Asymptotic results on tail moment for light-tailed risks
- Tails of higher-order moments with dominatedly varying summands
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- Tail dependence and heavy tailedness in extreme risks
- Optimal capital allocation based on the tail mean-variance model
- On joint marginal expected shortfall and associated contribution risk measures
- Asymptotic capital allocation based on the higher moment risk measure
- Extremes for multivariate expectiles
- Some results on the CTE-based capital allocation rule
- Some new notions of dependence with applications in optimal allocation problems
- Systemic risk: an asymptotic evaluation
- Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
- Forecasting compositional risk allocations
- Extremes for coherent risk measures
- Asymptotic risk decomposition for regularly varying distributions with tail dependence
- Generalized moments of sums with heavy-tailed random summands
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- Precise large deviations for the aggregate claims in a dependent compound renewal risk model
- Asymptotics for systemic risk with dependent heavy-tailed losses
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
- An asymptotic study of systemic expected shortfall and marginal expected shortfall
- Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
- Asymptotic results on marginal expected shortfalls for dependent risks
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Asymptotic results on tail moment and tail central moment for dependent risks
- On the worst and least possible asymptotic dependence
- Background risk models and stepwise portfolio construction
- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
- Extremes for a general contagion risk measure
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
- Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
- Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
- Asymptotics for large claims reinsurance in a time-dependent renewal risk model
- Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
- The finite-time ruin probability of a risk model with a general counting process and stochastic return
- Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
- Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
- Extremes and products of multivariate AC-product risks
- Asymptotics for Operational Risk Quantified with Expected Shortfall
- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
- Estimation of the adjusted standard-deviatile for extreme risks
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- A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
- Measuring the tail risk: an asymptotic approach
- Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks
- Random difference equations with subexponential innovations
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