A multivariate tail covariance measure for elliptical distributions
type: Item
instance of: scholarly article
title: A multivariate tail covariance measure for elliptical distributions
zbMATH Open document ID: 1398.62132
author: Zinoviy Landsman
author: Tomer Shushi
author: Udi E. Makov
published in: Insurance Mathematics \& Economics
publication date: 2018-08-28T00:00:00Z
Mathematics Subject Classification ID: 62H10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6928200
zbMATH Keywords: elliptical distributions
zbMATH Keywords: multivariate risk measures
zbMATH Keywords: multivariate tail conditional expectation
zbMATH Keywords: tail variance
zbMATH Keywords: multivariate tail covariance
zbMATH Keywords: tail confidence ellipsoid
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2018.04.002
OpenAlex ID: W2800478452
cites work: Q3996150
cites work: Tail Variance Premium with Applications for Elliptical Portfolio of Risks
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cites work: Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
cites work: Multivariate tail conditional expectation for elliptical distributions
cites work: Tail conditional moments for elliptical and log-elliptical distributions
cites work: Tail Conditional Expectations for Elliptical Distributions
cites work: Some families of the Hurwitz-Lerch zeta functions and associated fractional derivative and other integral representations
Wikidata QID: Q129915498
DOI: 10.1016/J.INSMATHECO.2018.04.002
description: scientific article; zbMATH DE number 6928200