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A Multivariate Tail Covariance...
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Conditional tail risk measures
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Statistical distribution
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Risk measure
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Multivariate Analyse
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Tail conditional expectation
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Capital income
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Elliptical distributions
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Ausreißer
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Bayes-Statistik
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Bayesian inference
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Estimation
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Mathematical programming
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Mathematische Optimierung
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Multivariate risk measures
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Outliers
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Schätzung
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Systematic longevity risk
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Tail variance
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optimal portfolio selection
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Ignatieva, Ekaterina
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Landsman, Zinoviy
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Insurance / Mathematics & economics
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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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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
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