This paper deals with the estimation of loss severity distribution arising from the historical data on univariate and multivariate losses. We present an innovative theoretical framework where the closed-form expression for the tail conditional expectation (TCE) is derived for the skewed general...

This paper introduces a new family of Generalized Hyper-Elliptical (GHE) distributions providing further generalization of the generalized hyperbolic (GH) family of distributions, considered in Ignatieva and Landsman. The GHE family is constructed by mixing a Generalized Inverse Gaussian (GIG)...

This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...