A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Katja Ignatieva, Zinoviy Landsman
| Year of publication: |
2021
|
|---|---|
| Authors: | Ignatieva, Ekaterina ; Landsman, Zinoviy |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 101.2021, 2, p. 437-465
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| Subject: | Conditional tail risk measures | Generalised Hyper-Elliptical (GHE) distributions | Generalised Inverse Gaussian distribution | Portfolio allocation | Tail conditional expectation | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Messung | Measurement | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.08.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012793936