Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions |
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Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (English)
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23 May 2019
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conditional tail expectation
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risk allocation
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conditional tail variance
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normal mean-variance mixture
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generalized hyperbolic distribution
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