Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
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Cites work
- scientific article; zbMATH DE number 2130681 (Why is no real title available?)
- scientific article; zbMATH DE number 4082773 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A directional multivariate value at risk
- A multivariate Tweedie lifetime model: censoring and truncation
- A unified approach to systemic risk measures via acceptance sets
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- Bounds and approximations for sums of dependent log-elliptical random variables
- Coherent measures of risk
- Conditional and dynamic convex risk measures
- Entropy coherent and entropy convex measures of risk
- Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
- Generalized Linear Models for Insurance Data
- Measures of systemic risk
- Multilevel modeling of insurance claims using copulas
- Multivariate tail conditional expectation for elliptical distributions
- On dependence consistency of CoVaR and some other systemic risk measures
- On multivariate extensions of conditional-tail-expectation
- On multivariate extensions of the conditional value-at-risk measure
- On multivariate extensions of value-at-risk
- Saddlepoint approximation for moment generating functions of truncated random variables
- Tail Conditional Expectations for Exponential Dispersion Models
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- Vector-valued coherent risk measures
- Vector-valued multivariate conditional value-at-risk
- Vector-valued tail value-at-risk and capital allocation
Cited in
(11)- Multivariate tail covariance risk measure for generalized skew-elliptical distributions
- Tail Conditional Expectations for Exponential Dispersion Models
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- A multivariate CVaR risk measure from the perspective of portfolio risk management
- The location of a minimum variance squared distance functional
- Capital allocation with multivariate convex risk measures
- On some layer-based risk measures with applications to exponential dispersion models
- Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
- A new approach to measure systemic risk: a bivariate copula model for dependent censored data
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- Multivariate Shortfall Risk Allocation and Systemic Risk
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