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Tail Conditional Variance for Elliptically Contoured Distributions
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Tail Conditional Variance for Elliptically Contoured Distributions (2004)Tail Conditional Variance for Ellipticall…Tail Conditional Expectations for Exponential Dispersion Models (2005)Tail Conditional Expectations…Wang’s capital allocation formula for elliptically contoured distributions (2003)Wang’s capital allocation for…Tail Conditional Expectations for Elliptical Distributions (2003)Tail Conditional Expectations…Tail dependence for elliptically contoured distributions (2002)Tail dependence for elliptica…Multivariate extremes, aggregation and dependence in elliptical distributions (2002)Multivariate extremes, aggreg…MEASUREMENT OF RISK, SOLVENCY REQUIREMENTS AND ALLOCATION OF CAPITAL WITHIN FINANCIAL CONGLOMERATES (2002)MEASUREMENT OF RISK, SOLVENCY…Economic capital allocation derived from risk measures (2002)Economic capital allocation d…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Actuarial Index of the Right-Tail Risk (1998)An Actuarial Index of the Rig…14 Probability distributions for financial models (1996)14 Probability distributions …Insurance premiums: Theory and applications (1984)Insurance premiums: Theory an…A gamma kernel density estimation for insurance loss data (2013)A gamma kernel density estima…An Introduction to Copulas (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A model for stock return distribution (2001)An Econometric Analysis of Emission Trading Allowances (2006)On the Tail Mean–Variance optimal portfolio selection (2010)Extreme Values, Regular Variation and Point Processes (1987)Multivariate conditional versions of Spearman's rho and related measures of tail dependence (2006)On the construction of copulas and quasi-copulas with given diagonal sections (2007)Orthant tail dependence of multivariate extreme value distributions (2008)Capital Allocation for Insurance Companies (2001)Correlation and Dependence (2001)Hierarchical Insurance Claims Modeling (2008)Optimal Capital Allocation Principles (2011)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Beyond Correlation: Extreme Co-Movements between Financial Assets (2002)Tail Variance Premium with Applications for Elliptical Portfolio of Risks (2006)Searching for innovation: Product, process, and business model innovations and search behavior in established firms (2018)Rules for Ordering Uncertain Prospects (1969)The Dual Theory of Choice under Risk (1987)Insurance: Mathematics and Economics (2004)Optimal reinsurance under general risk measures (2004)Weighted Pricing Functionals With Applications to Insurance (2009)Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures (2013)Premium Calculation by Transforming the Layer Premium Density (1996)On the coherence of expected shortfall (2002)Multivariate skew-normal distributions with applications in insurance (2006)TVaR-based capital allocation with copulas (2009)Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks (2016)Increasing risk II: Its economic consequences (1971)Risk capital allocation by coherent risk measures based on one-sided moments (2003)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)External Risk Measures and Basel Accords (2013)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Optimal reinsurance under convex principles of premium calculation (2005)VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance (2009)Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance (2022)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2003Tail Conditional Expectations for Elliptical Distributions386 cited
  • 2002Multivariate extremes, aggregation and dependence in elliptical distributions251 cited
  • 2002Economic capital allocation derived from risk measures198 cited
  • 2002Tail dependence for elliptically contoured distributions156 cited
  • 1984Insurance premiums: Theory and applications131 cited
  • 2002MEASUREMENT OF RISK, SOLVENCY REQUIREMENTS AND ALLOCATION OF CAPITAL WITHIN FINANCIAL CONGLOMERATES122 cited
  • 1998An Actuarial Index of the Right-Tail Risk115 cited
  • 199614 Probability distributions for financial models87 cited
  • 2005Tail Conditional Expectations for Exponential Dispersion Models84 cited
  • 2003Wang’s capital allocation formula for elliptically contoured distributions74 cited

Cited by

  • 2013A gamma kernel density estimation for insurance loss data34 cited

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