Risk capital decomposition for a multivariate dependent gamma portfolio

DOI10.1016/j.insmatheco.2005.06.006zbMath1129.91025OpenAlexW2031605209MaRDI QIDQ817298

Edward Furman, Zinoviy Landsman

Publication date: 8 March 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.006

zbMATH Keywords

tail conditional expectationmultivariate gamma distribution

Mathematics Subject Classification ID

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Cites Work

• The distribution of the sum of independent gamma random variables
• On a multivariate gamma
• Tail Conditional Expectations for Exponential Dispersion Models
• Multivariate Exponential-type Distributions
• Tail Conditional Expectations for Elliptical Distributions
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