Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Katja Ignatieva, Zinoviy Landsman
| Year of publication: |
2015
|
|---|---|
| Authors: | Ignatieva, Ekaterina ; Landsman, Zinoviy |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 65.2015, p. 172-186
|
| Subject: | Tail value-at-risk | Tail conditional expectation | Tail variance premium | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Schätztheorie | Estimation theory | Schätzung | Estimation | 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.2015.09.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011428649