Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
DOI10.1016/J.INSMATHECO.2015.09.007zbMATH Open1348.91293OpenAlexW3121899015MaRDI QIDQ896761FDOQ896761
Authors: Katja Ignatieva, Zinoviy Landsman 
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.09.007
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- An Asymptotic Expansion for the Tail Area of the t-Distribution
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
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Cited In (18)
- Tail conditional moment for generalized skew-elliptical distributions
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Tail variance of portfolio under generalized Laplace distribution
- Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions
- Generalized PELVE and applications to risk measures
- The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
- On a family of risk measures based on proportional hazards models and tail probabilities
- Asymptotic results on tail moment and tail central moment for dependent risks
- A multivariate tail covariance measure for elliptical distributions
- Tail conditional risk measures for location-scale mixture of elliptical distributions
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- Fourier-analytic measures for heavy-tailed insurance losses
- Tail mean-variance portfolio selection with estimation risk
- Conditional tail risk measures for the skewed generalised hyperbolic family
- TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS
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