Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
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Cites work
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 3962966 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
- An Asymptotic Expansion for the Tail Area of the t-Distribution
- Coherent measures of risk
- Empirical evidence on Student-t log-returns of diversified world stock indices
- Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
- Modelling co-movements and tail dependency in the international stock market via copulae
- On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
- Stochastic finance. An introduction in discrete time
- Tail Conditional Expectations for Elliptical Distributions
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
Cited in
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- Tail variance of portfolio under generalized Laplace distribution
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- 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
- A multivariate tail covariance measure for elliptical distributions
- Asymptotic results on tail moment and tail central moment for dependent risks
- 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
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Tail mean-variance portfolio selection with estimation risk
- TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS
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