Pages that link to "Item:Q3367750"

The following pages link to Conditional tail expectations for multivariate phase-type distributions (Q3367750):

Displaying 50 items.

• Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law (Q277273) (← links)
• Parameter estimation of discrete multivariate phase-type distributions (Q340108) (← links)
• Tail risk of multivariate regular variation (Q429988) (← links)
• Estimating the conditional tail expectation in the case of heavy-tailed losses (Q609705) (← links)
• Asymptotics for risk capital allocations based on conditional tail expectation (Q654806) (← links)
• TVaR-based capital allocation with copulas (Q659153) (← links)
• Multivariate Tweedie distributions and some related capital-at-risk analyses (Q659235) (← links)
• On multivariate extensions of conditional-tail-expectation (Q743166) (← links)
• Conditional marginal expected shortfall (Q826003) (← links)
• Optimal reinsurance under VaR and CTE risk measures (Q938052) (← links)
• Weighted risk capital allocations (Q974815) (← links)
• Some results on the CTE-based capital allocation rule (Q998305) (← links)
• A capital allocation based on a solvency exchange option (Q1023096) (← links)
• Weighted risk capital allocations in the presence of systematic risk (Q1742709) (← links)
• Optimal capital allocation based on the tail mean-variance model (Q2015620) (← links)
• Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution (Q2015636) (← links)
• Sensitivity analysis and tail variability for the Wang's actuarial index (Q2034162) (← links)
• Tail dependence and heavy tailedness in extreme risks (Q2038251) (← links)
• Asymptotic risk decomposition for regularly varying distributions with tail dependence (Q2141226) (← links)
• Multivariate matrix-exponential affine mixtures and their applications in risk theory (Q2172057) (← links)
• Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure (Q2234769) (← links)
• Conditional excess risk measures and multivariate regular variation (Q2291755) (← links)
• On multivariate extensions of the conditional value-at-risk measure (Q2347091) (← links)
• Comparison of conditional distributions in portfolios of dependent risks (Q2347097) (← links)
• Estimating covariate functions associated to multivariate risks: a level set approach (Q2352397) (← links)
• Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (Q2364013) (← links)
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models (Q2370525) (← links)
• Extreme behavior of multivariate phase-type distributions (Q2384448) (← links)
• Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
• Asymptotics of multivariate conditional risk measures for Gaussian risks (Q2415978) (← links)
• A new class of models for heavy tailed distributions in finance and insurance risk (Q2444705) (← links)
• Multivariate tail conditional expectation for elliptical distributions (Q2520449) (← links)
• On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays (Q2520463) (← links)
• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995) (← links)
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (Q2665868) (← links)
• Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109) (← links)
• Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113) (← links)
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants (Q2682987) (← links)
• Fitting bivariate losses with phase-type distributions (Q2868608) (← links)
• On Some Properties of Bivariate Exponential Distributions (Q2904310) (← links)
• Conditional Tail Moments of the Exponential Family and Its Related Distributions (Q3088974) (← links)
• A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited (Q3385437) (← links)
• Tail conditional risk measures for location-scale mixture of elliptical distributions (Q3390364) (← links)
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (Q3608226) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (Q4563733) (← links)
• Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter (Q4576972) (← links)
• Joint densities of hitting times for finite state Markov processes (Q4634119) (← links)
• Weighted Pricing Functionals With Applications to Insurance (Q5029087) (← links)