“Tail Conditional Expectations for Elliptical Distributions,” Zinoviy M. Landsman and Emiliano A. Valdez, October 2003

DOI10.1080/10920277.2004.10596157zbMath1085.62501OpenAlexW2073732142MaRDI QIDQ5715986

Martin Bilodeau

Publication date: 6 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596157

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Related Items (2)

Gram-Charlier-like expansions of the convoluted hyperbolic-secant density ⋮ A Note on Nonparametric Estimation of the CTE

Cites Work

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• The commutation matrix: Some properties and applications
• Redescending \(M\)-estimates of multivariate location and scatter
• The asymptotics of Rousseeuw's minimum volume ellipsoid estimator
• Consistency property of elliptical probability density functions
• Coherent Measures of Risk

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