Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions

DOI10.1016/j.insmatheco.2019.02.010zbMath1411.91293OpenAlexW2918627744MaRDI QIDQ2415974

So-Yeun Kim, Joseph H. T. Kim

Publication date: 23 May 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.02.010

zbMATH Keywords

conditional tail expectationrisk allocationgeneralized hyperbolic distributionconditional tail variancenormal mean-variance mixture

Mathematics Subject Classification ID

Related Items (8)

Multivariate tail covariance risk measure for generalized skew-elliptical distributions ⋮ Stein's lemma for truncated generalized skew-elliptical random vectors ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ Capital allocation with multivariate convex risk measures ⋮ Tail conditional risk measures for location-scale mixture of elliptical distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• An optimization approach to the dynamic allocation of economic capital
• Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
• Some results on the CTE-based capital allocation rule
• A capital allocation based on a solvency exchange option
• Non-additive measure and integral
• Wang's capital allocation formula for elliptically contoured distributions.
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Hyperbolic distributions in finance
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
• Multivariate skew-normal distributions with applications in insurance
• The multivariate skew-slash distribution
• Coherent Measures of Risk
• Conditional Tail Moments of the Exponential Family and Its Related Distributions
• Conditional tail expectations for multivariate phase-type distributions
• Managing Economic and Virtual Economic Capital Within Financial Conglomerates
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Normal scale mixtures and dual probability densities
• A semi-parametric approach to risk management
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• A Generalization of the Univariate Slash by a Scale-Mixtured Exponential Power Distribution
• On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
• Tail Conditional Expectations for Exponential Dispersion Models
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Tail Conditional Expectations for Elliptical Distributions

This page was built for publication: Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions