Pages that link to "Item:Q654806"

The following pages link to Asymptotics for risk capital allocations based on conditional tail expectation (Q654806):

Displaying 50 items.

• On the distribution of a sum of Sarmanov distributed random variables (Q270203) (← links)
• Background risk models and stepwise portfolio construction (Q340127) (← links)
• Randomly weighted sums of subexponential random variables with application to capital allocation (Q488110) (← links)
• Random difference equations with subexponential innovations (Q525896) (← links)
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems (Q654826) (← links)
• Some new notions of dependence with applications in optimal allocation problems (Q743160) (← links)
• Relative bound and asymptotic comparison of expectile with respect to expected shortfall (Q784463) (← links)
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions (Q894569) (← links)
• On the worst and least possible asymptotic dependence (Q901291) (← links)
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics (Q908370) (← links)
• A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model (Q1644178) (← links)
• An asymptotic characterization of hidden tail credit risk with actuarial applications (Q1707554) (← links)
• Expectation of the truncated randomly weighted sums with dominatedly varying summands (Q1728118) (← links)
• Measuring the tail risk: an asymptotic approach (Q1746754) (← links)
• Extremes for multivariate expectiles (Q1756031) (← links)
• Forecasting compositional risk allocations (Q1757613) (← links)
• Tails of higher-order moments with dominatedly varying summands (Q2010121) (← links)
• Optimal capital allocation based on the tail mean-variance model (Q2015620) (← links)
• Tail dependence and heavy tailedness in extreme risks (Q2038251) (← links)
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model (Q2068032) (← links)
• Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model (Q2076397) (← links)
• Asymptotic risk decomposition for regularly varying distributions with tail dependence (Q2141226) (← links)
• An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852) (← links)
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors (Q2246476) (← links)
• Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (Q2364013) (← links)
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return (Q2374111) (← links)
• Extremes for coherent risk measures (Q2374125) (← links)
• Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
• On the Haezendonck-Goovaerts risk measure for extreme risks (Q2427827) (← links)
• Extremes and products of multivariate AC-product risks (Q2442532) (← links)
• On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures (Q2444702) (← links)
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures (Q2445363) (← links)
• Simple risk measure calculations for sums of positive random variables (Q2446008) (← links)
• GlueVaR risk measures in capital allocation applications (Q2513627) (← links)
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims (Q2515126) (← links)
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure (Q2657983) (← links)
• Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113) (← links)
• The finite-time ruin probability of a risk model with a general counting process and stochastic return (Q2673377) (← links)
• Extremes for a general contagion risk measure (Q2677934) (← links)
• Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model (Q2682972) (← links)
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants (Q2682987) (← links)
• SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION (Q4562948) (← links)
• PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE (Q4563753) (← links)
• Asymptotics for large claims reinsurance in a time-dependent renewal risk model (Q4576778) (← links)
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks (Q4576955) (← links)
• Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks (Q4981883) (← links)
• (Q4986382) (← links)
• ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES (Q5152550) (← links)
• Estimation of multivariate conditional-tail-expectation using Kendall's process (Q5419464) (← links)
• Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) (Q5742637) (← links)