Multivariate tail conditional expectation for elliptical distributions

DOI10.1016/j.insmatheco.2016.05.017zbMath1373.62523OpenAlexW2423790469MaRDI QIDQ2520449

Tomer Shushi, Udi E. Makov, Zinoviy Landsman

Publication date: 13 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.05.017

zbMATH Keywords

elliptical distributionsmultivariate risk measurestail conditional expectationpositive homogeneitycumulative generatorsemi-subadditivity

Mathematics Subject Classification ID

Related Items (23)

A new coherent multivariate average-value-at-risk ⋮ Multivariate tail covariance risk measure for generalized skew-elliptical distributions ⋮ Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures ⋮ TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS ⋮ Stein's lemma for truncated elliptical random vectors ⋮ The location of a minimum variance squared distance functional ⋮ A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Stein’s Lemma for generalized skew-elliptical random vectors ⋮ A multivariate tail covariance measure for elliptical distributions ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions ⋮ Unified and non-recursive formulas for moments of the normal distribution with stripe truncation ⋮ Multivariate tail conditional expectation for scale mixtures of skew-normal distribution ⋮ Up- and down-correlations in normal variance mixture models ⋮ Skew-elliptical distributions with applications in risk theory ⋮ Approximation of some multivariate risk measures for Gaussian risks ⋮ A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation ⋮ On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation ⋮ Tail conditional risk measures for location-scale mixture of elliptical distributions ⋮ A new class of multivariate elliptically contoured distributions with inconsistency property ⋮ Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models ⋮ Explicit formulas for the cumulants and the vector-valued odd moments of the multivariate linearly skewed elliptical distributions

Uses Software

• QRM

Cites Work

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