Tail Variance premiums for log-elliptical distributions

In this paper we derive expressions for the Tail Variance and the Tail Variance Premium of risks in a multivariate log-elliptical setting. The theoretical results are illustrated by considering lognormal and log-Laplace distributions. We also derive approximate expressions for a Tail Variance-based allocation rule in a multivariate lognormal setting. A numerical example illustrates the accurateness of the proposed approximations.

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Year of publication:	2013
Authors:	Landsman, Zinoviy ; Pat, Nika ; Dhaene, Jan
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 52.2013, 3, p. 441-447
Publisher:	Elsevier
Subject:	Tail Variance premium \| Log-elliptical distributions \| Comonotonicity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010665836