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Search: subject:"conditional tail variance"
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Estimating copula-based extension of tail value-at-risk and its application in insurance claim
Syuhada, Khreshna
;
Neswan, Oki
;
Parulian, Josaphat, Bony
-
2022
quantiles, called the Dependent
Conditional
Tail
Variance
(DCTV). We use this measure for constructing confidence intervals of …
Persistent link: https://www.econbiz.de/10013363132
Saved in:
2
Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Kim, Joseph H. T.
;
Kim, So-Yeun
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 145-157
Persistent link: https://www.econbiz.de/10012058851
Saved in:
3
An inclusive criterion for an optimal choice of reinsurance
El Attar, Abderrahim
;
El Hachloufi, Mostafa
;
Guennoun, …
- In:
Annals of financial economics
12
(
2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011850387
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