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A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 437-465
Persistent link: https://www.econbiz.de/10012793936
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Multivariate tail conditional expectation for elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223
Persistent link: https://www.econbiz.de/10011597276
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Modelling lifetime dependence for older ages using a multivariate Pareto distribution
Alai, Daniel H.; Landsman, Zinoviy; Sherris, Michael - In: Insurance / Mathematics & economics 70 (2016), pp. 272-285
Persistent link: https://www.econbiz.de/10011597294
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Conditional tail risk measures for the skewed generalised hyperbolic family
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 86 (2019), pp. 98-114
Persistent link: https://www.econbiz.de/10012058838