Tail variance premium with applications for elliptical portfolio of risks

ASTIN Bulletin

Volumn 36, Issue 2, 2006, Pages 433-462

  Furman, Edward ^a   Landsman, Zinoviy ^a  

^a UNIVERSITY OF HAIFA   (Israel)

Author keywords

Elliptical distributions; Premium calculation principle; Risk capital allocation; Risk measure; Tail conditional expectation; Tail covariance premium; Tail standard deviation premium; Tail variance premium

Indexed keywords

EID: 35348826278     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.36.2.2017929     Document Type: Article

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