Pages that link to "Item:Q2415974"
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The following pages link to Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974):
Displaying 18 items.
- On multivariate extensions of conditional-tail-expectation (Q743166) (← links)
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092) (← links)
- Value-at-risk via mixture distributions reconsidered (Q1039677) (← links)
- Multivariate tail covariance risk measure for generalized skew-elliptical distributions (Q2122044) (← links)
- Stein's lemma for truncated generalized skew-elliptical random vectors (Q2129966) (← links)
- On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation (Q2306273) (← links)
- Multivariate skew-normal distributions with applications in insurance (Q2492184) (← links)
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (Q2665868) (← links)
- Capital allocation with multivariate convex risk measures (Q2698586) (← links)
- Tail conditional risk measures for location-scale mixture of elliptical distributions (Q3390364) (← links)
- Normalized Exponential Tilting (Q5019747) (← links)
- Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution (Q5050412) (← links)
- Asymptotic results on tail moment for light-tailed risks (Q6152705) (← links)
- Asymptotic results on tail moment and tail central moment for dependent risks (Q6198065) (← links)
- Tail variance allocation, Shapley value, and the majorization problem (Q6198966) (← links)
- Stein type lemmas for location-scale mixture of generalized skew-elliptical random vectors (Q6534661) (← links)
- Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons (Q6571715) (← links)
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution (Q6653558) (← links)
