Conditional tail risk measures for the skewed generalised hyperbolic family
Katja Ignatieva, Zinoviy Landsman
| Year of publication: |
2019
|
|---|---|
| Authors: | Ignatieva, Ekaterina ; Landsman, Zinoviy |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 86.2019, p. 98-114
|
| Subject: | Tail conditional expectation | Skewed generalised hyperbolic distributions | Conditional tail risk measures | Generalized Inverse Gaussian distribution | Portfolio allocation | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risiko | Risk | Theorie | Theory | Messung | Measurement | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.02.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012058838