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...

We study conditional correlations between pairs of risks in normal variance mixture models, which are widely used in risk management and finance. In particular, we examine up- and down-correlations defined as the conditional correlation between the sum of risks and an individual component,...

It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance stochastic orders respectively, can be simply characterised in terms of the vector's...