Skew-elliptical distributions with applications in risk theory

DOI10.1007/s13385-016-0144-9zbMath1394.62148OpenAlexW2570721716MaRDI QIDQ1707559

Tomer Shushi

Publication date: 3 April 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-016-0144-9

zbMATH Keywords

Esscher premiumoptimal portfolio selectiontail value at riskskew-elliptical distributionsloss distributions

Mathematics Subject Classification ID

Related Items (6)

Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution ⋮ Stein’s Lemma for generalized skew-elliptical random vectors ⋮ Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model ⋮ Reverse stress testing in skew-elliptical models ⋮ Multivariate tail conditional expectation for scale mixtures of skew-normal distribution ⋮ Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications

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