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A multivariate tail covariance measure for elliptical distributions
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35
Persistent link: https://www.econbiz.de/10011904613
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Risk management with Tail Quasi-Linear Means
Bäuerle, Nicole; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 1, pp. 170-187
Persistent link: https://www.econbiz.de/10012194089
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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