Tail conditional variance for elliptically contoured distributions
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- On the estimation of the variability in the distribution tail
- Tail conditional moments for elliptical and log-elliptical distributions
- 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
- Tail variance premiums for log-elliptical distributions
- Credibility theory based on trimming
- Multivariate tail conditional expectation for elliptical distributions
- A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
- Optimal capital allocation for individual risk model using a mean-variance principle
- Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
- Tail conditional expectation for the bivariate Pareto distribution of first kind
- TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS
- The tail Stein's identity with applications to risk measures
- Tail Conditional Expectations for Exponential Dispersion Models
- Tail conditional moment for generalized skew-elliptical distributions
- Tail variance allocation, Shapley value, and the majorization problem
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
- 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
- Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions
- Bivariate tail conditional co-expectation for elliptical distributions
- An alternative stochastic model for linear portfolios
- Range value-at-risk and its optimization in vehicle insurance
- Approximate Bayesian computation of reduced-bias extreme risk measures from heavy-tailed distributions
- Tail asymptotic results for elliptical distributions
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