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- Tail risk measures and risk allocation for the class of multivariate . . .
In this paper we derive explicit formulas of the CTE, its allocation, and the conditional tail variance for the full class of multivariate NMVM distributions, generalizing the result of Ignatieva and Landsman (2015)
- Tail risk measures with application for mixtures of elliptical . . .
In this paper we derive explicit formulas of tail conditional expectation (TCE) and tail variance (TV) for the class of location-scale mixtures of elliptical distributions, which includes the generalized hyper-elliptical (GHE) distribution
- TMV-Based Capital Allocation for Multivariate Risks
TMV-Based Capital Allocation for Multivariate Risks by Maochao Xu ABSTRACT This paper studies a novel capital allocation framework based on the tail mean-variance (TMV) principle for multivariate risks The new capital allocation model has many intriguing proper-ties, such as controlling the magnitude and variability of tail risks simultaneously
- Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribu-tion and the tempered stable subordinator
- Asymptotic results on tail moment and tail central moment for dependent . . .
We focus on two kinds of risk measures, referred to as the tail moment (TM) and the tail central moment (TCM), which are defined as the conditional moment and conditional central moment of some individual risk in the event of system crisis
- On Mean And or Variance Mixtures of Normal Distributions
Kim, J H T , Kim, S Y : Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions Insuran : Math Econ 86 , 145–157 (2019)
- Tail risk measures and risk allocation for the class of multivariate . . .
In this paper we derive explicit formulas of tail conditional expectation ($ \text {TCE} $) and tail variance ($ \text {TV} $) for the class of location-scale mixtures of elliptical
- Multivariate tail covariance risk measure for generalized skew . . .
In this paper, the multivariate tail covariance (MTCov) for generalized skew-elliptical distributions is considered Some special cases for this distribution, such as generalized skew-normal, generalized skew student-t, generalized skew-logistic and generalized skew-Laplace distributions, are also considered
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