Pages that link to "Item:Q5715937"

The following pages link to Tail Conditional Expectations for Elliptical Distributions (Q5715937):

Displaying 50 items.

• Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions (Q2932770) (← links)
• Elliptical families and copulas: tilting and premium; capital allocation (Q3077728) (← links)
• Projection Pursuit Through Relative Entropy Minimization (Q3087570) (← links)
• Conditional Tail Moments of the Exponential Family and Its Related Distributions (Q3088974) (← links)
• Conditional tail expectations for multivariate phase-type distributions (Q3367750) (← links)
• Tail conditional risk measures for location-scale mixture of elliptical distributions (Q3390364) (← links)
• Problems of Mathematical Finance by Stochastic Control Methods (Q3557801) (← links)
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (Q3608226) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence (Q4559325) (← links)
• Longitudinal modeling of insurance claim counts using jitters (Q4576844) (← links)
• A Black–Litterman asset allocation model under Elliptical distributions (Q4683054) (← links)
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226) (← links)
• Pooling Risk Games (Q5012897) (← links)
• An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets (Q5019715) (← links)
• Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints (Q5039397) (← links)
• AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS (Q5050856) (← links)
• TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS (Q5051183) (← links)
• ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs (Q5060524) (← links)
• The risk of tensor Stein-rules in elliptically contoured distributions (Q5072994) (← links)
• On the Convexity of Level-sets of Probability Functions (Q5074513) (← links)
• Stein’s Lemma for generalized skew-elliptical random vectors (Q5078520) (← links)
• Tail variance for Generalized Skew-Elliptical distributions (Q5079253) (← links)
• On Moments of Folded and Doubly Truncated Multivariate Extended Skew-Normal Distributions (Q5084444) (← links)
• A new class of symmetric distributions including the elliptically symmetric logistic (Q5092690) (← links)
• Multivariate tail conditional expectation for scale mixtures of skew-normal distribution (Q5107515) (← links)
• ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS (Q5214826) (← links)
• Generalized Differentiation of Probability Functions Acting on an Infinite System of Constraints (Q5233103) (← links)
• Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management (Q5246181) (← links)
• Insurance Portfolio Risk Retention (Q5379241) (← links)
• Estimation of multivariate conditional-tail-expectation using Kendall's process (Q5419464) (← links)
• Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) (Q5742637) (← links)
• Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach (Q5742901) (← links)
• Tail conditional moment for generalized skew-elliptical distributions (Q5861174) (← links)
• Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions (Q5866050) (← links)
• Reverse stress testing in skew-elliptical models (Q6050283) (← links)
• Sharing the value‐at‐risk under distributional ambiguity (Q6054142) (← links)
• Mean‐ portfolio selection and ‐arbitrage for coherent risk measures (Q6054408) (← links)
• Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions (Q6077261) (← links)
• Design of efficient investment portfolios with a shortfall probability as a measure of risk (Q6094337) (← links)
• Modified expected shortfall: a coherent risk measure for elliptical family of distributions (Q6108890) (← links)
• Stein type lemmas for location-scale mixture of generalized skew-elliptical random vectors (Q6534661) (← links)
• Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models (Q6549617) (← links)
• Asymptotics of the loss-based tail risk measures in the presence of extreme risks (Q6550185) (← links)
• Reduced-bias estimation of the extreme conditional tail expectation for Box-Cox transforms of heavy-tailed distributions (Q6592804) (← links)
• Multivariate doubly truncated moments for generalized skew-elliptical distributions with applications (Q6593073) (← links)
• Reliable alternative ways to manage the risk of extreme events (Q6615787) (← links)
• Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets (Q6626007) (← links)
• Estimation of marginal excess moments for Weibull-type distributions (Q6635938) (← links)
• Bivariate tail conditional co-expectation for elliptical distributions (Q6665604) (← links)