The Tail Stein's Identity with Applications to Risk Measures

DOI10.1080/10920277.2016.1237879zbMath1414.91210OpenAlexW2548684494MaRDI QIDQ5379195

Zinoviy Landsman, Emiliano A. Valdez

Publication date: 28 May 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2016.1237879

zbMATH Keywords

risk measurestail Stein's identity

Mathematics Subject Classification ID

Related Items (4)

Computing (Bivariate) Poisson Moments Using Stein–Chen Identities ⋮ Stein's lemma for truncated elliptical random vectors ⋮ How a probabilistic analogue of the mean value theorem yields stein-type covariance identities ⋮ New characterizations of the (discrete) Lindley distribution and their applications

Cites Work

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• Mathematical Statistics
• Tail Conditional Expectations for Exponential Dispersion Models
• Loss Models

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