Tail moments and tail joint moments for multivariate generalized hyperbolic distribution

DOI10.1016/J.CAM.2024.116307MaRDI QIDQ6653558FDOQ6653558

Authors: Yang Yang, Guojing Wang, Jing Yao 

Publication date: 16 December 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

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zbMATH Keywords

risk measurerisk aggregationmultivariate generalized hyperbolic distributiontail momenttail joint moment

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Mathematical economics (91Bxx)

Cites Work

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Cited In (2)

• The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
• Asymptotic results on tail moment for light-tailed risks

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