Found 13 Documents (Results 1–13)
Asymptotic results on tail moment and tail central moment for dependent risks. (English) Zbl 07806760
Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions. (English) Zbl 07751581
MSC:
62-XX
Tail conditional expectations for generalized skew-elliptical distributions. (English) Zbl 1524.62250
Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals. (English) Zbl 07676040
Tail conditional risk measures for location-scale mixture of elliptical distributions. (English) Zbl 07497693
MSC:
62-XX
Tail conditional moment for generalized skew-elliptical distributions. (English) Zbl 1521.62304
MSC:
62-XX
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (English) Zbl 1475.91403
MSC:
91G70
The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution. (English) Zbl 1466.91284
Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions. (English) Zbl 1411.91293
Conditional tail risk measures for the skewed generalised hyperbolic family. (English) Zbl 1411.91510
Tail variance of portfolio under generalized Laplace distribution. (English) Zbl 1410.91421
MSC:
91G10
91B30
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