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Volumn 16, Issue 3, 2012, Pages 350-363

Asymptotic Analysis of Multivariate Tail Conditional Expectations

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EID: 84865288862     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2012.10590646     Document Type: Article
Times cited : (38)

References (24)
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    • Albrecher, H.1    Asmussen, S.2    Kortschak, D.3
  • 5
    • 27944469551 scopus 로고    scopus 로고
    • Conditional Tail Expectations for Multivariate Phase-Type Distributions
    • CAI, J., and H. LI. 2005. Conditional Tail Expectations for Multivariate Phase-Type Distributions. Journal of Applied Probability 42: 810-825.
    • (2005) Journal of Applied Probability , vol.42 , pp. 810-825
    • Cai, J.1    Li, H.2
  • 6
    • 40949120600 scopus 로고    scopus 로고
    • Tail Dependence for Multivariate t-Copulas and Its Monotonicity
    • CHEN, Y., and H. LI. 2008. Tail Dependence for Multivariate t-Copulas and Its Monotonicity. Insurance: Mathematics and Economics 42: 763-770.
    • (2008) Insurance: Mathematics and Economics , vol.42 , pp. 763-770
    • Chen, Y.1    Li, H.2
  • 8
    • 0141822085 scopus 로고    scopus 로고
    • Coherent Risk Measure on General Probability Spaces
    • edited by K. Sandmann and P. J. Schönbucher, Berlin: Springer
    • DELBAEN, F. 2002. Coherent Risk Measure on General Probability Spaces. In Advances in Finance and Stochastics-Essays in Honour of Dieter Sondermann, edited by K. Sandmann and P. J. Schönbucher, pp. 1-37. Berlin: Springer.
    • (2002) Advances in Finance and Stochastics-Essays in Honour of Dieter Sondermann , pp. 1-37
    • Delbaen, F.1
  • 9
    • 63449119587 scopus 로고    scopus 로고
    • Additivity Properties for Value-at-Risk under Archimedean Dependence and Heavy-Tailedness
    • EMBRECHTS, P., J. NESLEHOVÁ, and M. V. WÜTHRICH. 2009. Additivity Properties for Value-at-Risk under Archimedean Dependence and Heavy-Tailedness. Insurance: Mathematics and Economics 44: 164-169.
    • (2009) Insurance: Mathematics and Economics , vol.44 , pp. 164-169
    • Embrechts, P.1    Neslehová, J.2    Wüthrich, M.V.3
  • 16
    • 85011180246 scopus 로고    scopus 로고
    • Tail Conditional Expectations for Elliptical Distributions
    • LANDSMAN, Z., and E. A. VALDEZ. 2003. Tail Conditional Expectations for Elliptical Distributions. North American Actuarial Journal 7: 55-71.
    • (2003) North American Actuarial Journal , vol.7 , pp. 55-71
    • Landsman, Z.1    Valdez, E.A.2
  • 17
    • 55049102021 scopus 로고    scopus 로고
    • Orthant Tail Dependence of Multivariate Extreme Value Distributions
    • LI, H. 2009. Orthant Tail Dependence of Multivariate Extreme Value Distributions. Journal of Multivariate Analysis 100: 243-256.
    • (2009) Journal of Multivariate Analysis , vol.100 , pp. 243-256
    • Li, H.1
  • 18
    • 76449106161 scopus 로고    scopus 로고
    • Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
    • LI, H., and Y. SUN. 2009. Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions. Journal of Applied Probability 46: 925-937.
    • (2009) Journal of Applied Probability , vol.46 , pp. 925-937
    • Li, H.1    Sun, Y.2
  • 23
    • 71649087451 scopus 로고    scopus 로고
    • Tail Conditional Variance for Elliptically Contoured Distributions
    • VALDEZ, E. A. 2005. Tail Conditional Variance for Elliptically Contoured Distributions. Belgian Actuarial Bulletin 5: 26-36.
    • (2005) Belgian Actuarial Bulletin , vol.5 , pp. 26-36
    • Valdez, E.A.1
  • 24
    • 78651429037 scopus 로고    scopus 로고
    • Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach
    • VERNIC, R. 2011. Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach. Methodology and Computing in Applied Probability 13: 121-137.
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    • Vernic, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.