Tail Variance Premium with Applications for Elliptical Portfolio of Risks

Recommendations

Tail variance premiums for log-elliptical distributions
On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
Optimal capital allocation based on the tail mean-variance model
Skew-elliptical distributions with applications in risk theory
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

Cites work

A Universal Framework for Pricing Financial and Insurance Risks
An Actuarial Index of the Right-Tail Risk
Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
Bayesian Inference Based on Robust Priors and MML Estimators: Part I, Symmetric Location-Scale Distributions
Coherent measures of risk
Financial Data Analysis with Two Symmetric Distributions
scientific article; zbMATH DE number 417563 (Why is no real title available?)
On the generalization of Stein's lemma for elliptical class of distributions
On the theory of elliptically contoured distributions
Relative Importance of Risk Sources in Insurance Systems
Tail dependence for elliptically contoured distributions

Cited in

(90)

\(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
A multivariate tail covariance measure for elliptical distributions
A note on conditional covariance matrices for elliptical distributions
Skew-elliptical distributions with applications in risk theory
Tail variance of portfolio under generalized Laplace distribution
Optimal capital allocation based on the tail mean-variance model
Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
Sensitivity analysis and tail variability for the Wang's actuarial index
On the estimation of the variability in the distribution tail
Multivariate tail covariance risk measure for generalized skew-elliptical distributions
A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Stochastic comparisons of distorted variability measures
A composition between risk and deviation measures
On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
The Minkowski length of a spherical random vector
Tail conditional moments for elliptical and log-elliptical distributions
Risk measures in a quantile regression credibility framework with Fama/French data applications
Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
On a family of risk measures based on proportional hazards models and tail probabilities
Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
A characterization of optimal portfolios under the tail mean-variance criterion
Tail variance premiums for log-elliptical distributions
Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
Capital allocation based on the tail covariance premium adjusted
Credible risk measures with applications in actuarial sciences and finance
Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
Modality for scenario analysis and maximum likelihood allocation
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
Risk aggregation and capital allocation using a new generalized Archimedean copula
Optimal capital allocation for individual risk model using a mean-variance principle
Minimization of a function of a quadratic functional with application to optimal portfolio selection
Elliptical families and copulas: tilting and premium; capital allocation
Conditional Tail Moments of the Exponential Family and Its Related Distributions
A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
On extension of some identities for the bias and risk functions in elliptically contoured distributions
Extended Gini-type measures of risk and variability
On some properties of a class of multivariate Erlang mixtures with insurance applications
A theory for measures of tail risk
“An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
Tail Moments of Compound Distributions
The risk of tensor Stein-rules in elliptically contoured distributions
Tail variance for Generalized Skew-Elliptical distributions
Agricultural Insurance Ratemaking: Development of a New Premium Principle
The tail Stein's identity with applications to risk measures
Tail conditional moment for generalized skew-elliptical distributions
Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
On some layer-based risk measures with applications to exponential dispersion models
Estimating the conditional tail expectation in the case of heavy-tailed losses
Asymptotic results on tail moment for light-tailed risks
Up- and down-correlations in normal variance mixture models
Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
Asymptotic results on tail moment and tail central moment for dependent risks
Tail variance allocation, Shapley value, and the majorization problem
Tail mean-variance portfolio selection with estimation risk
Asymptotics for risk capital allocations based on conditional tail expectation
Asymptotics of the loss-based tail risk measures in the presence of extreme risks
A novel XGamma extension: applications and actuarial risk analysis under the reinsurance data
The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
Comparing tail variabilities of risks by means of the excess wealth order
Multivariate Tweedie distributions and some related capital-at-risk analyses
On the tail mean-variance optimal portfolio selection
Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
On the tail behavior for randomly weighted sums of dependent random variables with its applications to risk measures
Monotonic mean-deviation risk measures
Doubly truncated expectation and variance of univariate generalized skew-elliptical distributions with applications
The principle of a single big jump from the perspective of tail moment risk measure
Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
A novel weighted family for the reinsurance actuarial risk analysis with applications
A generalized tail mean-variance model for optimal capital allocation
Efficient evaluation of risk allocations
Tail variance and confidence of using tail conditional expectation: analytical representation, capital adequacy, and asymptotics
A unit Weibull loss distribution with quantile regression and practical applications to actuarial science
Tail variance for generalised hyper-elliptical models
The tail behavior of the convolutions of Gamma random variables
A novel mixture of Laplace and skew-Laplace distributions: properties, applications and risk analysis for the GBP/USD exchange rates with mean of order P assessment
Extreme risk modeling based on Tail Extended Gini and Joint Tail Extended Gini
Estimates for systemic risk measures in the presence of heavy tails
Elicitability and identifiability of tail risk measures
Range value-at-risk and its optimization in vehicle insurance
Tail Sharpe ratio under generalized skew-elliptical distributions for optimal portfolio selection
Range moment risk measures for elliptical distributions
Schur properties of convolutions of gamma random variables
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Weighted premium calculation principles
On a multivariate gamma distribution
Weighted risk capital allocations

This page was built for publication: Tail Variance Premium with Applications for Elliptical Portfolio of Risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3632844)