Tail Conditional Expectations for Exponential Dispersion Models

ASTIN Bulletin

Volumn 35, Issue 1, 2005, Pages 189-209

  Landsman, Zinoviy ^a   Valdez, Emiliano A ^b  

^a UNIVERSITY OF HAIFA   (Israel)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Exponential dispersion family; Tail conditional expectations; Tail value at risk

Indexed keywords

EID: 85011457676     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S0515036100014124     Document Type: Article

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