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Multiple risk factor dependence structures : copulas and related properties

Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 74 (2017), pp. 109-121

Persistent link: https://www.econbiz.de/10011712411

Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 65 (2015), pp. 172-186

Persistent link: https://www.econbiz.de/10011428649

A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35

Persistent link: https://www.econbiz.de/10011904613

Tail conditional moments for elliptical and log-elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 71 (2016), pp. 179-188

Persistent link: https://www.econbiz.de/10011630646

A generalization of multivariate Pareto distributions : tail risk measures, divided differences and asymptotics

Hendriks, Harrie; Landsman, Zinoviy - In: Scandinavian actuarial journal (2017) 9, pp. 785-803

Persistent link: https://www.econbiz.de/10011848675

Conditional tail risk measures for the skewed generalised hyperbolic family

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 86 (2019), pp. 98-114

Persistent link: https://www.econbiz.de/10012058838

Tail Conditional Expectations for Generalized Skew — Elliptical Distributions

Landsman, Zinoviy - 2013

Tail conditional expectation (TCE) has properties which are considered desirable and applicable in a variety of situations. (In particular, it satis es requirements of a "coherent" risk measure in the spirit developed by Artzner et al. (1999)). Consequently, there has been growing interest among...

Persistent link: https://www.econbiz.de/10013078647