Tail variance for generalised hyper-elliptical models

DOI10.1017/ASB.2024.39MaRDI QIDQ7021781zbMATH OpenFDO

Authors Katja Ignatieva, Zinoviy Landsman

Publication date 26 February 2025

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/ASB.2024.39

zbMATH Keywords

generalised hyper-elliptical distributionsgeneralised inverse Gaussian distributiontail conditional expectationtail variance

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
• Concentration inequalities. A nonasymptotic theory of independence
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• scientific article; zbMATH DE number 45785 (Why is no real title available?)
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• Loss models. From data to decisions
• Quantitative risk management. Concepts, techniques and tools
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
• Tail variance and confidence of using tail conditional expectation: analytical representation, capital adequacy, and asymptotics
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks

Cited in

(2)

• Tail variance for generalised hyper-elliptical models -- corrigendum
• Tail Sharpe ratio under generalized skew-elliptical distributions for optimal portfolio selection

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