Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

DOI10.1016/j.insmatheco.2015.09.007zbMath1348.91293OpenAlexW3121899015MaRDI QIDQ896761

Zinoviy Landsman, Katja Ignatieva

Publication date: 14 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.09.007

zbMATH Keywords

tail conditional expectationtail value-at-risktail variance premium

Mathematics Subject Classification ID

Related Items (12)

TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS ⋮ A multivariate tail covariance measure for elliptical distributions ⋮ A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures ⋮ 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 ⋮ Multivariate doubly truncated moments for a class of multivariate location-scale mixture of elliptical distributions ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution ⋮ Tail conditional risk measures for location-scale mixture of elliptical distributions ⋮ Tail conditional moment for generalized skew-elliptical distributions

Uses Software

• QRM

Cites Work

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