Ignatieva, Katja; Landsman, Zinoviy Conditional tail risk measures for the skewed generalised hyperbolic family. (English) Zbl 1411.91510 Insur. Math. Econ. 86, 98-114 (2019). MSC: 91G10 91G70 62P05 62E10 × Cite Format Result Cite Review PDF Full Text: DOI
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, Ying-Oon Option pricing for symmetric Lévy returns with applications. (English) Zbl 1368.91171 Asia-Pac. Financ. Mark. 22, No. 1, 27-52 (2015). MSC: 91G20 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ignatieva, Katja; Landsman, Zinoviy Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions. (English) Zbl 1348.91293 Insur. Math. Econ. 65, 172-186 (2015). MSC: 91G70 60E05 62P05 91B30 × Cite Format Result Cite Review PDF Full Text: DOI