On multivariate extensions of conditional-tail-expectation

DOI10.1016/j.insmatheco.2014.01.013zbMath1296.91149OpenAlexW2160974524MaRDI QIDQ743166

Elena Di Bernardino, Areski Cousin

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.013

zbMATH Keywords

stochastic ordersmultivariate risk measurescopulas and dependencelevel sets of distribution functionsmultivariate probability integral transformation

Mathematics Subject Classification ID

Related Items (17)

Stein's lemma for truncated generalized skew-elliptical random vectors ⋮ Stein's lemma for truncated elliptical random vectors ⋮ A multivariate extension of the increasing convex order to compare risks ⋮ Vector-valued tail value-at-risk and capital allocation ⋮ A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ Multivariate geometric expectiles ⋮ Risk tomography ⋮ Vector-valued multivariate conditional value-at-risk ⋮ Capital allocation with multivariate convex risk measures ⋮ Multivariate extensions of expectiles risk measures ⋮ Conditional excess risk measures and multivariate regular variation ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models ⋮ Unnamed Item ⋮ On multivariate extensions of the conditional value-at-risk measure

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