Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974)

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Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
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    Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (English)
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    23 May 2019
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    conditional tail expectation
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    risk allocation
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    conditional tail variance
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    normal mean-variance mixture
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    generalized hyperbolic distribution
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