Tail Conditional Expectations for Exponential Dispersion Models
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Cites work
Cited in
(42)- A capital allocation based on a solvency exchange option
- A gamma kernel density estimation for insurance loss data
- Sensitivity analysis and tail variability for the Wang's actuarial index
- Remarks on a generalized inverse Gaussian type integral with applications
- On a family of coherent measures of variability
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- Risk measures in a quantile regression credibility framework with Fama/French data applications
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Tail conditional expectation for multivariate distributions: a game theory approach
- A characterization of optimal portfolios under the tail mean-variance criterion
- Tail variance premiums for log-elliptical distributions
- Credibility theory based on trimming
- Multivariate skew-normal distributions with applications in insurance
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- Multivariate tail conditional expectation for elliptical distributions
- Credible risk measures with applications in actuarial sciences and finance
- Conditional Tail Moments of the Exponential Family and Its Related Distributions
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
- Multivariate Tweedie lifetimes: the impact of dependence
- A multivariate Tweedie lifetime model: censoring and truncation
- Weighted Pricing Functionals With Applications to Insurance
- Multivariate tail conditional expectation for scale mixtures of skew-normal distribution
- scientific article; zbMATH DE number 7148146 (Why is no real title available?)
- Multivariate lifetime distributions for the exponential dispersion family
- The tail Stein's identity with applications to risk measures
- On some layer-based risk measures with applications to exponential dispersion models
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
- Bounds for some general sums of random variables
- Dispersion models for extremes
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- On the tail mean-variance optimal portfolio selection
- Insurance risk analysis using tempered stable subordinator
- A new skewness adjustment for Solvency II SCR standard formula
- Reliable simulation of extremely-truncated log-concave distributions
- Modeling lower-truncated and right-censored insurance claims with an extension of the MBBEFD class
- Quantifying extreme risks in high-frequency financial, energy, and commodity markets
- Tail Sharpe ratio under generalized skew-elliptical distributions for optimal portfolio selection
- Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
- Risk capital decomposition for a multivariate dependent gamma portfolio
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