Conditional Tail Moments of the Exponential Family and Its Related Distributions

DOI10.1080/10920277.2010.10597585zbMath1219.91071OpenAlexW2096810383MaRDI QIDQ3088974

Joseph H. T. Kim

Publication date: 23 August 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2010.10597585

Mathematics Subject Classification ID

Related Items (14)

TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS ⋮ Tail conditional moments for elliptical and log-elliptical distributions ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ Conditional tail risk measures for the skewed generalised hyperbolic family ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ The Tail Stein's Identity with Applications to Risk Measures ⋮ Credibility theory based on trimming ⋮ Bias correction for estimated distortion risk measure using the bootstrap ⋮ The generalized exponential family of distributions and its characteristics ⋮ Tail conditional risk measures for location-scale mixture of elliptical distributions ⋮ Tail conditional moment for generalized skew-elliptical distributions

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