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Tails of correlation mixtures of elliptical copulas
Manner, Hans; Segers, Johan - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 153-160
Persistent link: https://www.econbiz.de/10008839743
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Estimating generalized state density of near-extreme events and its applications in analyzing stock data
Lin, Jin-guan; Huang, Chao; Zhuang, Qing-yun; Zhu, Li-ping - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 13-20
Persistent link: https://www.econbiz.de/10003985370
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Extreme value behavior of aggregate dependent risks
Chen, Die; Mao, Tiantian; Pan, Xiaoqing; Hu, Taizhong - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 99-108
Persistent link: https://www.econbiz.de/10009501695
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Comparison of conditional distributions in portfolios of dependent risks
Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69
Persistent link: https://www.econbiz.de/10010515927
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Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 65 (2015), pp. 172-186
Persistent link: https://www.econbiz.de/10011428649
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Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
Deme, El Hadji; Girard, Stéphane; Guillou, Armelle - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 550-559
Persistent link: https://www.econbiz.de/10009763588
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Optimal capital allocation based on the Tail Mean-Variance model
Xu, Maochao; Mao, Tiantian - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 533-543
Persistent link: https://www.econbiz.de/10010227966
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Fitting asset returns to skewed distributions : are the skew-normal and skew-student good models?
Eling, Martin - In: Insurance / Mathematics & economics 59 (2014), pp. 45-56
Persistent link: https://www.econbiz.de/10010469187
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Capital allocation based on the tail covariance premium adjusted
Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131
Persistent link: https://www.econbiz.de/10010402702
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Second order regular variation and conditional tail expectation of multiple risks
Hua, Lei; Joe, Harry - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 537-546
Persistent link: https://www.econbiz.de/10009404672