Tail moments and tail joint moments for multivariate generalized hyperbolic distribution

DOI10.1016/j.cam.2024.116307MaRDI QIDQ6653558

Jing Yao, Guojing Wang, Yang Yang

Publication date: 16 December 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

risk measurerisk aggregationmultivariate generalized hyperbolic distributiontail momenttail joint moment

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx)

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