Laguel, Yassine; van Ackooij, Wim; Malick, Jérôme; Ramalho, Guilherme Matiussi On the convexity of level-sets of probability functions. (English) Zbl 07523730 J. Convex Anal. 29, No. 2, 411-442 (2022). MSC: 90C15 90C25 PDF BibTeX XML Cite \textit{Y. Laguel} et al., J. Convex Anal. 29, No. 2, 411--442 (2022; Zbl 07523730) Full Text: Link OpenURL
Ghannam, Mai; Nkurunziza, Sévérien The risk of tensor Stein-rules in elliptically contoured distributions. (English) Zbl 07518378 Statistics 56, No. 2, 421-454 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Ghannam} and \textit{S. Nkurunziza}, Statistics 56, No. 2, 421--454 (2022; Zbl 07518378) Full Text: DOI OpenURL
Li, Jinzhu Asymptotic results on marginal expected shortfalls for dependent risks. (English) Zbl 07487251 Insur. Math. Econ. 102, 146-168 (2022). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{J. Li}, Insur. Math. Econ. 102, 146--168 (2022; Zbl 07487251) Full Text: DOI OpenURL
Marri, Fouad; Moutanabbir, Khouzeima Risk aggregation and capital allocation using a new generalized Archimedean copula. (English) Zbl 07487247 Insur. Math. Econ. 102, 75-90 (2022). MSC: 91G05 91G70 62H05 PDF BibTeX XML Cite \textit{F. Marri} and \textit{K. Moutanabbir}, Insur. Math. Econ. 102, 75--90 (2022; Zbl 07487247) Full Text: DOI arXiv OpenURL
Galarza, Christian E.; Matos, Larissa A.; Castro, Luis M.; Lachos, Victor H. Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution. (English) Zbl 07482274 J. Multivariate Anal. 189, Article ID 104944, 15 p. (2022). MSC: 62Hxx 60E05 62P05 PDF BibTeX XML Cite \textit{C. E. Galarza} et al., J. Multivariate Anal. 189, Article ID 104944, 15 p. (2022; Zbl 07482274) Full Text: DOI arXiv OpenURL
Adcock, Chris; Landsman, Zinoviy; Shushi, Tomer Stein’s Lemma for generalized skew-elliptical random vectors. (English) Zbl 07530965 Commun. Stat., Theory Methods 50, No. 13, 3014-3029 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{C. Adcock} et al., Commun. Stat., Theory Methods 50, No. 13, 3014--3029 (2021; Zbl 07530965) Full Text: DOI OpenURL
Eini, Esmat Jamshidi; Khaloozadeh, Hamid Tail conditional moment for generalized skew-elliptical distributions. (English) Zbl 07484655 J. Appl. Stat. 48, No. 13-15, 2285-2305 (2021). MSC: 62Pxx PDF BibTeX XML Cite \textit{E. J. Eini} and \textit{H. Khaloozadeh}, J. Appl. Stat. 48, No. 13--15, 2285--2305 (2021; Zbl 07484655) Full Text: DOI OpenURL
Wang, Yeshunying; Yin, Chuancun A new class of multivariate elliptically contoured distributions with inconsistency property. (English) Zbl 1480.60043 Methodol. Comput. Appl. Probab. 23, No. 4, 1377-1407 (2021). MSC: 60E10 62E10 PDF BibTeX XML Cite \textit{Y. Wang} and \textit{C. Yin}, Methodol. Comput. Appl. Probab. 23, No. 4, 1377--1407 (2021; Zbl 1480.60043) Full Text: DOI arXiv OpenURL
Goegebeur, Yuri; Guillou, Armelle; Ho, Nguyen Khanh Le; Qin, Jing Conditional marginal expected shortfall. (English) Zbl 1482.62105 Extremes 24, No. 4, 797-847 (2021). MSC: 62P05 62G32 62H12 62G20 91G70 PDF BibTeX XML Cite \textit{Y. Goegebeur} et al., Extremes 24, No. 4, 797--847 (2021; Zbl 1482.62105) Full Text: DOI OpenURL
Ignatieva, Katja; Landsman, Zinoviy A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (English) Zbl 1475.91403 Insur. Math. Econ. 101, 437-465 (2021). MSC: 91G70 PDF BibTeX XML Cite \textit{K. Ignatieva} and \textit{Z. Landsman}, Insur. Math. Econ. 101, 437--465 (2021; Zbl 1475.91403) Full Text: DOI OpenURL
Mohammed, Nawaf; Furman, Edward; Su, Jianxi Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (English) Zbl 1475.91313 Insur. Math. Econ. 101, 425-436 (2021). MSC: 91G05 91B32 91G70 PDF BibTeX XML Cite \textit{N. Mohammed} et al., Insur. Math. Econ. 101, 425--436 (2021; Zbl 1475.91313) Full Text: DOI arXiv OpenURL
Norton, Matthew; Khokhlov, Valentyn; Uryasev, Stan Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation. (English) Zbl 1475.91404 Ann. Oper. Res. 299, No. 1-2, 1281-1315 (2021). Reviewer: Paweł Kliber (Poznan) MSC: 91G70 91G10 62F10 60E05 90C30 PDF BibTeX XML Cite \textit{M. Norton} et al., Ann. Oper. Res. 299, No. 1--2, 1281--1315 (2021; Zbl 1475.91404) Full Text: DOI arXiv OpenURL
Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano A. A multi-year microlevel collective risk model. (English) Zbl 1471.91479 Insur. Math. Econ. 100, 309-328 (2021). MSC: 91G05 62H05 PDF BibTeX XML Cite \textit{R. Oh} et al., Insur. Math. Econ. 100, 309--328 (2021; Zbl 1471.91479) Full Text: DOI arXiv OpenURL
Ji, Liuyan; Tan, Ken Seng; Yang, Fan Tail dependence and heavy tailedness in extreme risks. (English) Zbl 1467.91142 Insur. Math. Econ. 99, 282-293 (2021). MSC: 91G05 62P05 62H05 62G32 PDF BibTeX XML Cite \textit{L. Ji} et al., Insur. Math. Econ. 99, 282--293 (2021; Zbl 1467.91142) Full Text: DOI OpenURL
Eini, Esmat Jamshidi; Khaloozadeh, Hamid The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution. (English) Zbl 1466.91284 Insur. Math. Econ. 98, 44-50 (2021). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{E. J. Eini} and \textit{H. Khaloozadeh}, Insur. Math. Econ. 98, 44--50 (2021; Zbl 1466.91284) Full Text: DOI OpenURL
Zuo, Baishuai; Yin, Chuancun Stein’s lemma for truncated generalized skew-elliptical random vectors. (English) Zbl 07513054 AIMS Math. 5, No. 4, 3423-3433 (2020). MSC: 62E10 62H05 PDF BibTeX XML Cite \textit{B. Zuo} and \textit{C. Yin}, AIMS Math. 5, No. 4, 3423--3433 (2020; Zbl 07513054) Full Text: DOI OpenURL
Alon, Tzvi; Haviv, Moshe Pooling risk games. (English) Zbl 1479.91021 Int. Game Theory Rev. 22, No. 3, Article ID 1950015, 28 p. (2020). MSC: 91A12 91A80 91B32 PDF BibTeX XML Cite \textit{T. Alon} and \textit{M. Haviv}, Int. Game Theory Rev. 22, No. 3, Article ID 1950015, 28 p. (2020; Zbl 1479.91021) Full Text: DOI OpenURL
van Ackooij, Wim A discussion of probability functions and constraints from a variational perspective. (English) Zbl 1467.90028 Set-Valued Var. Anal. 28, No. 4, 585-609 (2020). MSC: 90C15 PDF BibTeX XML Cite \textit{W. van Ackooij}, Set-Valued Var. Anal. 28, No. 4, 585--609 (2020; Zbl 1467.90028) Full Text: DOI OpenURL
Hu, Taizhong; Chen, Ouxiang On a family of coherent measures of variability. (English) Zbl 1452.91273 Insur. Math. Econ. 95, 173-182 (2020). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{T. Hu} and \textit{O. Chen}, Insur. Math. Econ. 95, 173--182 (2020; Zbl 1452.91273) Full Text: DOI OpenURL
Lachos, Víctor H.; Garay, Aldo M.; Cabral, Celso R. B. Moments of truncated scale mixtures of skew-normal distributions. (English) Zbl 1445.62030 Braz. J. Probab. Stat. 34, No. 3, 478-494 (2020). MSC: 62E15 62H30 62N01 62P05 PDF BibTeX XML Cite \textit{V. H. Lachos} et al., Braz. J. Probab. Stat. 34, No. 3, 478--494 (2020; Zbl 1445.62030) Full Text: DOI Euclid OpenURL
Landsman, Z.; Makov, U.; Shushi, T. Portfolio optimization by a bivariate functional of the mean and variance. (English) Zbl 1443.90271 J. Optim. Theory Appl. 185, No. 2, 622-651 (2020). MSC: 90C25 49N10 46B99 PDF BibTeX XML Cite \textit{Z. Landsman} et al., J. Optim. Theory Appl. 185, No. 2, 622--651 (2020; Zbl 1443.90271) Full Text: DOI OpenURL
van Ackooij, Wim; Pérez-Aros, Pedro Gradient formulae for nonlinear probabilistic constraints with non-convex quadratic forms. (English) Zbl 1437.90118 J. Optim. Theory Appl. 185, No. 1, 239-269 (2020). MSC: 90C15 90C20 90C26 PDF BibTeX XML Cite \textit{W. van Ackooij} and \textit{P. Pérez-Aros}, J. Optim. Theory Appl. 185, No. 1, 239--269 (2020; Zbl 1437.90118) Full Text: DOI OpenURL
Mousavi, Seyedjavad Ahmadi; Amirzadeh, Vahid; Rezapour, Mohsen; Sheikhy, Ayob Multivariate tail conditional expectation for scale mixtures of skew-normal distribution. (English) Zbl 07193890 J. Stat. Comput. Simulation 89, No. 17, 3167-3181 (2019). MSC: 62P05 60E05 PDF BibTeX XML Cite \textit{S. A. Mousavi} et al., J. Stat. Comput. Simulation 89, No. 17, 3167--3181 (2019; Zbl 07193890) Full Text: DOI OpenURL
Das, Bikramjit; Fasen-Hartmann, Vicky Conditional excess risk measures and multivariate regular variation. (English) Zbl 1434.60085 Stat. Risk. Model. 36, No. 1-4, 1-23 (2019). MSC: 60F10 60G50 60G70 PDF BibTeX XML Cite \textit{B. Das} and \textit{V. Fasen-Hartmann}, Stat. Risk. Model. 36, No. 1--4, 1--23 (2019; Zbl 1434.60085) Full Text: DOI OpenURL
Golubin, A. Yu.; Gridin, V. N. Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital. (English. Russian original) Zbl 1431.91330 Autom. Remote Control 80, No. 4, 708-717 (2019); translation from Avtom. Telemekh. 2019, No. 4, 144-155 (2019). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{A. Yu. Golubin} and \textit{V. N. Gridin}, Autom. Remote Control 80, No. 4, 708--717 (2019; Zbl 1431.91330); translation from Avtom. Telemekh. 2019, No. 4, 144--155 (2019) Full Text: DOI OpenURL
van Ackooij, Wim; Perez-Aros, Pedro Generalized differentiation of probability functions acting on an infinite system of constraints. (English) Zbl 1421.90102 SIAM J. Optim. 29, No. 3, 2179-2210 (2019). MSC: 90C15 PDF BibTeX XML Cite \textit{W. van Ackooij} and \textit{P. Perez-Aros}, SIAM J. Optim. 29, No. 3, 2179--2210 (2019; Zbl 1421.90102) Full Text: DOI OpenURL
Shushi, Tomer The Minkowski length of a spherical random vector. (English) Zbl 1458.60027 Stat. Probab. Lett. 153, 104-107 (2019). MSC: 60E05 62E15 62H10 PDF BibTeX XML Cite \textit{T. Shushi}, Stat. Probab. Lett. 153, 104--107 (2019; Zbl 1458.60027) Full Text: DOI OpenURL
Kim, Joseph H. T.; Kim, So-Yeun Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions. (English) Zbl 1411.91293 Insur. Math. Econ. 86, 145-157 (2019). MSC: 91B30 62P05 62H05 PDF BibTeX XML Cite \textit{J. H. T. Kim} and \textit{S.-Y. Kim}, Insur. Math. Econ. 86, 145--157 (2019; Zbl 1411.91293) Full Text: DOI OpenURL
Ignatieva, Katja; Landsman, Zinoviy Conditional tail risk measures for the skewed generalised hyperbolic family. (English) Zbl 1411.91510 Insur. Math. Econ. 86, 98-114 (2019). MSC: 91G10 91G70 62P05 62E10 PDF BibTeX XML Cite \textit{K. Ignatieva} and \textit{Z. Landsman}, Insur. Math. Econ. 86, 98--114 (2019; Zbl 1411.91510) Full Text: DOI OpenURL
van Ackooij, Wim; Malick, Jérôme Eventual convexity of probability constraints with elliptical distributions. (English) Zbl 1421.90101 Math. Program. 175, No. 1-2 (A), 1-27 (2019). MSC: 90C15 90C25 65K10 PDF BibTeX XML Cite \textit{W. van Ackooij} and \textit{J. Malick}, Math. Program. 175, No. 1--2 (A), 1--27 (2019; Zbl 1421.90101) Full Text: DOI HAL OpenURL
Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. (English) Zbl 1417.62300 N. Am. Actuar. J. 23, No. 1, 82-97 (2019). MSC: 62P05 91B30 62E15 PDF BibTeX XML Cite \textit{J. H. T. Kim} et al., N. Am. Actuar. J. 23, No. 1, 82--97 (2019; Zbl 1417.62300) Full Text: DOI OpenURL
Pang, Tao; Karan, Cagatay A closed-form solution of the Black-Litterman model with conditional value at risk. (English) Zbl 07064430 Oper. Res. Lett. 46, No. 1, 103-108 (2018). MSC: 90-XX PDF BibTeX XML Cite \textit{T. Pang} and \textit{C. Karan}, Oper. Res. Lett. 46, No. 1, 103--108 (2018; Zbl 07064430) Full Text: DOI OpenURL
Gijbels, Irène; Herrmann, Klaus Optimal expected-shortfall portfolio selection with copula-induced dependence. (English) Zbl 1418.91469 Appl. Math. Finance 25, No. 1, 66-106 (2018). MSC: 91G10 62P05 62H05 PDF BibTeX XML Cite \textit{I. Gijbels} and \textit{K. Herrmann}, Appl. Math. Finance 25, No. 1, 66--106 (2018; Zbl 1418.91469) Full Text: DOI OpenURL
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer A multivariate tail covariance measure for elliptical distributions. (English) Zbl 1398.62132 Insur. Math. Econ. 81, 27-35 (2018). MSC: 62H10 62P05 91B30 PDF BibTeX XML Cite \textit{Z. Landsman} et al., Insur. Math. Econ. 81, 27--35 (2018; Zbl 1398.62132) Full Text: DOI OpenURL
Huang, Jinbo; Li, Yong; Yao, Haixiang Index tracking model, downside risk and non-parametric kernel estimation. (English) Zbl 1401.91582 J. Econ. Dyn. Control 92, 103-128 (2018). MSC: 91G80 91B30 91G70 PDF BibTeX XML Cite \textit{J. Huang} et al., J. Econ. Dyn. Control 92, 103--128 (2018; Zbl 1401.91582) Full Text: DOI OpenURL
Barnard, Roger W.; Pearce, Kent; Trindade, A. Alexandre When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management. (English) Zbl 1391.62192 Ann. Oper. Res. 262, No. 1, 47-65 (2018). MSC: 62P05 62G32 91B30 PDF BibTeX XML Cite \textit{R. W. Barnard} et al., Ann. Oper. Res. 262, No. 1, 47--65 (2018; Zbl 1391.62192) Full Text: DOI OpenURL
Zhou, Ming; Dhaene, Jan; Yao, Jing An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (English) Zbl 1401.91218 Insur. Math. Econ. 79, 92-100 (2018). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{M. Zhou} et al., Insur. Math. Econ. 79, 92--100 (2018; Zbl 1401.91218) Full Text: DOI OpenURL
Frees, Edward Insurance portfolio risk retention. (English) Zbl 1414.91186 N. Am. Actuar. J. 21, No. 4, 526-551 (2017). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{E. Frees}, N. Am. Actuar. J. 21, No. 4, 526--551 (2017; Zbl 1414.91186) Full Text: DOI OpenURL
Wang, Chou-Wen; Yang, Sharon S.; Huang, Jr-Wei Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance. (English) Zbl 1402.91820 Quant. Finance 17, No. 10, 1567-1581 (2017). MSC: 91G20 91B30 60G51 PDF BibTeX XML Cite \textit{C.-W. Wang} et al., Quant. Finance 17, No. 10, 1567--1581 (2017; Zbl 1402.91820) Full Text: DOI OpenURL
Shushi, Tomer Skew-elliptical distributions with applications in risk theory. (English) Zbl 1394.62148 Eur. Actuar. J. 7, No. 1, 277-296 (2017). MSC: 62P05 62H10 91B30 PDF BibTeX XML Cite \textit{T. Shushi}, Eur. Actuar. J. 7, No. 1, 277--296 (2017; Zbl 1394.62148) Full Text: DOI OpenURL
Jaworski, Piotr; Pitera, Marcin A note on conditional covariance matrices for elliptical distributions. (English) Zbl 1457.62157 Stat. Probab. Lett. 129, 230-235 (2017). MSC: 62H05 62H10 62E15 60E05 PDF BibTeX XML Cite \textit{P. Jaworski} and \textit{M. Pitera}, Stat. Probab. Lett. 129, 230--235 (2017; Zbl 1457.62157) Full Text: DOI arXiv OpenURL
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer Extended generalized skew-elliptical distributions and their moments. (English) Zbl 1373.60030 Sankhyā, Ser. A 79, No. 1, 76-100 (2017). MSC: 60E05 62E15 62F10 PDF BibTeX XML Cite \textit{Z. Landsman} et al., Sankhyā, Ser. A 79, No. 1, 76--100 (2017; Zbl 1373.60030) Full Text: DOI OpenURL
Cai, Jun; Wang, Ying; Mao, Tiantian Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (English) Zbl 1394.91197 Insur. Math. Econ. 75, 105-116 (2017). MSC: 91B30 62P05 91G70 PDF BibTeX XML Cite \textit{J. Cai} et al., Insur. Math. Econ. 75, 105--116 (2017; Zbl 1394.91197) Full Text: DOI OpenURL
Lee, Woojoo; Cheung, Ka Chun; Ahn, Jae Youn Multivariate countermonotonicity and the minimal copulas. (English) Zbl 1359.62168 J. Comput. Appl. Math. 317, 589-602 (2017). MSC: 62H05 62H20 60E15 62P05 91B30 PDF BibTeX XML Cite \textit{W. Lee} et al., J. Comput. Appl. Math. 317, 589--602 (2017; Zbl 1359.62168) Full Text: DOI OpenURL
Jiang, Chun-Fu; Peng, Hong-Yi; Yang, Yu-Kuan Tail variance of portfolio under generalized Laplace distribution. (English) Zbl 1410.91421 Appl. Math. Comput. 282, 187-203 (2016). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{C.-F. Jiang} et al., Appl. Math. Comput. 282, 187--203 (2016; Zbl 1410.91421) Full Text: DOI OpenURL
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer Tail conditional moments for elliptical and log-elliptical distributions. (English) Zbl 1371.60041 Insur. Math. Econ. 71, 179-188 (2016). MSC: 60E05 91B30 62P05 PDF BibTeX XML Cite \textit{Z. Landsman} et al., Insur. Math. Econ. 71, 179--188 (2016; Zbl 1371.60041) Full Text: DOI OpenURL
Landsman, Zinoviy; Makov, Udi; Shushi, Tomer Multivariate tail conditional expectation for elliptical distributions. (English) Zbl 1373.62523 Insur. Math. Econ. 70, 216-223 (2016). MSC: 62P05 62H10 91B30 PDF BibTeX XML Cite \textit{Z. Landsman} et al., Insur. Math. Econ. 70, 216--223 (2016; Zbl 1373.62523) Full Text: DOI OpenURL
Ko, Bangwon; Ahn, Jae Youn On multivariate countermonotonic copulas and their actuarial application. (English) Zbl 1419.62298 Lobachevskii J. Math. 37, No. 4, 387-396 (2016). MSC: 62P05 91B30 60E05 62H20 PDF BibTeX XML Cite \textit{B. Ko} and \textit{J. Y. Ahn}, Lobachevskii J. Math. 37, No. 4, 387--396 (2016; Zbl 1419.62298) Full Text: DOI OpenURL
Xiao, Yugu; Valdez, Emiliano A. A Black-Litterman asset allocation model under elliptical distributions. (English) Zbl 1398.62330 Quant. Finance 15, No. 3, 509-519 (2015). MSC: 62P05 91G10 62E10 PDF BibTeX XML Cite \textit{Y. Xiao} and \textit{E. A. Valdez}, Quant. Finance 15, No. 3, 509--519 (2015; Zbl 1398.62330) Full Text: DOI OpenURL
Dang, Utkarsh J.; Browne, Ryan P.; McNicholas, Paul D. Mixtures of multivariate power exponential distributions. (English) Zbl 1419.62330 Biometrics 71, No. 4, 1081-1089 (2015). MSC: 62P10 62H30 PDF BibTeX XML Cite \textit{U. J. Dang} et al., Biometrics 71, No. 4, 1081--1089 (2015; Zbl 1419.62330) Full Text: DOI arXiv OpenURL
Bernard, Carole; Vanduffel, Steven Quantile of a mixture with application to model risk assessment. (English) Zbl 1355.60019 Depend. Model. 3, 172-181 (2015). MSC: 60E05 60E15 PDF BibTeX XML Cite \textit{C. Bernard} and \textit{S. Vanduffel}, Depend. Model. 3, 172--181 (2015; Zbl 1355.60019) Full Text: DOI OpenURL
Ignatieva, Katja; Landsman, Zinoviy Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions. (English) Zbl 1348.91293 Insur. Math. Econ. 65, 172-186 (2015). MSC: 91G70 60E05 62P05 91B30 PDF BibTeX XML Cite \textit{K. Ignatieva} and \textit{Z. Landsman}, Insur. Math. Econ. 65, 172--186 (2015; Zbl 1348.91293) Full Text: DOI OpenURL
Cossette, Hélène; Marceau, Etienne; Perreault, Samuel On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. (English) Zbl 1348.91137 Insur. Math. Econ. 64, 214-224 (2015). MSC: 91B30 60E05 62H05 62P05 PDF BibTeX XML Cite \textit{H. Cossette} et al., Insur. Math. Econ. 64, 214--224 (2015; Zbl 1348.91137) Full Text: DOI OpenURL
Li, Xiaohu; You, Yinping Permutation monotone functions of random vectors with applications in financial and actuarial risk management. (English) Zbl 1311.91128 Adv. Appl. Probab. 47, No. 1, 270-291 (2015). MSC: 91B30 91B16 60E15 PDF BibTeX XML Cite \textit{X. Li} and \textit{Y. You}, Adv. Appl. Probab. 47, No. 1, 270--291 (2015; Zbl 1311.91128) Full Text: DOI Euclid OpenURL
Hürlimann, Werner On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas. (English) Zbl 1431.91442 ASTIN Bull. 44, No. 3, 613-633 (2014). MSC: 91G70 62H05 62P05 PDF BibTeX XML Cite \textit{W. Hürlimann}, ASTIN Bull. 44, No. 3, 613--633 (2014; Zbl 1431.91442) Full Text: DOI Link OpenURL
Shi, Peng; Valdez, Emiliano A. Longitudinal modeling of insurance claim counts using jitters. (English) Zbl 1401.91195 Scand. Actuar. J. 2014, No. 2, 159-179 (2014). MSC: 91B30 62H10 62P05 PDF BibTeX XML Cite \textit{P. Shi} and \textit{E. A. Valdez}, Scand. Actuar. J. 2014, No. 2, 159--179 (2014; Zbl 1401.91195) Full Text: DOI OpenURL
El Methni, Jonathan; Gardes, Laurent; Girard, Stéphane Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions. (English) Zbl 1305.62199 Scand. J. Stat. 41, No. 4, 988-1012 (2014). MSC: 62G32 62P12 62G05 62G07 62G20 PDF BibTeX XML Cite \textit{J. El Methni} et al., Scand. J. Stat. 41, No. 4, 988--1012 (2014; Zbl 1305.62199) Full Text: DOI HAL OpenURL
Cousin, Areski; Di Bernardino, Elena On multivariate extensions of conditional-tail-expectation. (English) Zbl 1296.91149 Insur. Math. Econ. 55, 272-282 (2014). MSC: 91B30 62H20 60E15 PDF BibTeX XML Cite \textit{A. Cousin} and \textit{E. Di Bernardino}, Insur. Math. Econ. 55, 272--282 (2014; Zbl 1296.91149) Full Text: DOI HAL OpenURL
Di Bernardino, Elena; Prieur, Clémentine Estimation of multivariate conditional-tail-expectation using Kendall’s process. (English) Zbl 1359.62183 J. Nonparametric Stat. 26, No. 2, 241-267 (2014). MSC: 62H12 62E17 62G05 62G20 PDF BibTeX XML Cite \textit{E. Di Bernardino} and \textit{C. Prieur}, J. Nonparametric Stat. 26, No. 2, 241--267 (2014; Zbl 1359.62183) Full Text: DOI Link OpenURL
Vanduffel, S.; Yao, Jing Discussion on: “Asymptotic analysis of multivariate tail conditional expectations”. (English) Zbl 1412.60076 N. Am. Actuar. J. 17, No. 1, 98-100 (2013). MSC: 60G70 91B30 PDF BibTeX XML Cite \textit{S. Vanduffel} and \textit{J. Yao}, N. Am. Actuar. J. 17, No. 1, 98--100 (2013; Zbl 1412.60076) Full Text: DOI OpenURL
Rassoul, Abdelaziz Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution. (English) Zbl 1290.62034 Insur. Math. Econ. 53, No. 3, 698-703 (2013). MSC: 62G07 62G32 PDF BibTeX XML Cite \textit{A. Rassoul}, Insur. Math. Econ. 53, No. 3, 698--703 (2013; Zbl 1290.62034) Full Text: DOI OpenURL
Jeon, Yongho; Kim, Joseph H. T. A gamma kernel density estimation for insurance loss data. (English) Zbl 1290.62099 Insur. Math. Econ. 53, No. 3, 569-579 (2013). MSC: 62P05 62G07 91B30 PDF BibTeX XML Cite \textit{Y. Jeon} and \textit{J. H. T. Kim}, Insur. Math. Econ. 53, No. 3, 569--579 (2013; Zbl 1290.62099) Full Text: DOI OpenURL
Xu, Maochao; Mao, Tiantian Optimal capital allocation based on the tail mean-variance model. (English) Zbl 1290.91152 Insur. Math. Econ. 53, No. 3, 533-543 (2013). MSC: 91G10 91B30 62P05 62G30 60G70 PDF BibTeX XML Cite \textit{M. Xu} and \textit{T. Mao}, Insur. Math. Econ. 53, No. 3, 533--543 (2013; Zbl 1290.91152) Full Text: DOI OpenURL
Kim, Joseph H. T.; Jeon, Yongho Credibility theory based on trimming. (English) Zbl 1284.91245 Insur. Math. Econ. 53, No. 1, 36-47 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{J. H. T. Kim} and \textit{Y. Jeon}, Insur. Math. Econ. 53, No. 1, 36--47 (2013; Zbl 1284.91245) Full Text: DOI OpenURL
Owadally, Iqbal; Landsman, Zinoviy A characterization of optimal portfolios under the tail mean-variance criterion. (English) Zbl 1284.91528 Insur. Math. Econ. 52, No. 2, 213-221 (2013). MSC: 91G10 PDF BibTeX XML Cite \textit{I. Owadally} and \textit{Z. Landsman}, Insur. Math. Econ. 52, No. 2, 213--221 (2013; Zbl 1284.91528) Full Text: DOI OpenURL
Abbasi, Babak; Hosseinifard, S. Zahra Tail conditional expectation for multivariate distributions: a game theory approach. (English) Zbl 1286.91061 Stat. Probab. Lett. 83, No. 10, 2228-2235 (2013). MSC: 91B30 91A12 60E05 PDF BibTeX XML Cite \textit{B. Abbasi} and \textit{S. Z. Hosseinifard}, Stat. Probab. Lett. 83, No. 10, 2228--2235 (2013; Zbl 1286.91061) Full Text: DOI OpenURL
Landsman, Zinoviy; Vanduffel, Steven; Yao, Jing A note on Stein’s lemma for multivariate elliptical distributions. (English) Zbl 1432.62152 J. Stat. Plann. Inference 143, No. 11, 2016-2022 (2013). MSC: 62H05 PDF BibTeX XML Cite \textit{Z. Landsman} et al., J. Stat. Plann. Inference 143, No. 11, 2016--2022 (2013; Zbl 1432.62152) Full Text: DOI OpenURL
Nkurunziza, Sévérien; Chen, Fuqi On extension of some identities for the bias and risk functions in elliptically contoured distributions. (English) Zbl 1279.62117 J. Multivariate Anal. 122, 190-201 (2013). MSC: 62H12 PDF BibTeX XML Cite \textit{S. Nkurunziza} and \textit{F. Chen}, J. Multivariate Anal. 122, 190--201 (2013; Zbl 1279.62117) Full Text: DOI OpenURL
Genç, Ali İ. Moments of truncated normal/independent distributions. (English) Zbl 1307.62026 Stat. Pap. 54, No. 3, 741-764 (2013). MSC: 62E10 62E15 62P05 PDF BibTeX XML Cite \textit{A. İ. Genç}, Stat. Pap. 54, No. 3, 741--764 (2013; Zbl 1307.62026) Full Text: DOI OpenURL
Kume, Alfred; Hashorva, Enkelejd Calculation of Bayes premium for conditional elliptical risks. (English) Zbl 1285.91060 Insur. Math. Econ. 51, No. 3, 632-635 (2012). MSC: 91B30 62H05 62P05 PDF BibTeX XML Cite \textit{A. Kume} and \textit{E. Hashorva}, Insur. Math. Econ. 51, No. 3, 632--635 (2012; Zbl 1285.91060) Full Text: DOI Link OpenURL
Laniado, Henry; Lillo, Rosa E.; Pellerey, Franco; Romo, Juan Portfolio selection through an extremality stochastic order. (English) Zbl 1284.91522 Insur. Math. Econ. 51, No. 1, 1-9 (2012). MSC: 91G10 60E15 62P05 PDF BibTeX XML Cite \textit{H. Laniado} et al., Insur. Math. Econ. 51, No. 1, 1--9 (2012; Zbl 1284.91522) Full Text: DOI Link OpenURL
Shaked, Moshe; Sordo, Miguel A.; Suárez-Llorens, Alfonso Global dependence stochastic orders. (English) Zbl 1259.60026 Methodol. Comput. Appl. Probab. 14, No. 3, 617-648 (2012). MSC: 60E15 91B26 90B25 60K10 PDF BibTeX XML Cite \textit{M. Shaked} et al., Methodol. Comput. Appl. Probab. 14, No. 3, 617--648 (2012; Zbl 1259.60026) Full Text: DOI OpenURL
Owadally, Iqbal An improved closed-form solution for the constrained minimization of the root of a quadratic functional. (English) Zbl 1250.90088 J. Comput. Appl. Math. 236, No. 17, 4428-4435 (2012). MSC: 90C30 91G80 91G10 PDF BibTeX XML Cite \textit{I. Owadally}, J. Comput. Appl. Math. 236, No. 17, 4428--4435 (2012; Zbl 1250.90088) Full Text: DOI OpenURL
Krajina, Andrea A method of moments estimator of tail dependence in meta-elliptical models. (English) Zbl 1237.62058 J. Stat. Plann. Inference 142, No. 7, 1811-1823 (2012). MSC: 62G32 62H20 62G20 62E20 65C60 PDF BibTeX XML Cite \textit{A. Krajina}, J. Stat. Plann. Inference 142, No. 7, 1811--1823 (2012; Zbl 1237.62058) Full Text: DOI OpenURL
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. (English) Zbl 1235.91086 Insur. Math. Econ. 50, No. 2, 247-256 (2012). MSC: 91B30 62P05 91G10 91G40 PDF BibTeX XML Cite \textit{H. Cossette} et al., Insur. Math. Econ. 50, No. 2, 247--256 (2012; Zbl 1235.91086) Full Text: DOI OpenURL
van Gulick, Gerwald; De Waegenaere, Anja; Norde, Henk Excess based allocation of risk capital. (English) Zbl 1238.91141 Insur. Math. Econ. 50, No. 1, 26-42 (2012). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G50 91G10 90C05 PDF BibTeX XML Cite \textit{G. van Gulick} et al., Insur. Math. Econ. 50, No. 1, 26--42 (2012; Zbl 1238.91141) Full Text: DOI Link OpenURL
Touboul, Jacques Goodness-of-fit tests for elliptical and independent copulas through projection pursuit. (English) Zbl 1461.62061 Algorithms (Basel) 4, No. 2, 87-114 (2011). MSC: 62H05 62G15 62H15 PDF BibTeX XML Cite \textit{J. Touboul}, Algorithms (Basel) 4, No. 2, 87--114 (2011; Zbl 1461.62061) Full Text: DOI arXiv OpenURL
Valdez, Emiliano A.; Xiao, Yugu On the distortion of a copula and its margins. (English) Zbl 1277.62140 Scand. Actuar. J. 2011, No. 4, 292-317 (2011). MSC: 62H05 62E10 62P05 PDF BibTeX XML Cite \textit{E. A. Valdez} and \textit{Y. Xiao}, Scand. Actuar. J. 2011, No. 4, 292--317 (2011; Zbl 1277.62140) Full Text: DOI Link OpenURL
Hellmich, Martin; Kassberger, Stefan Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework. (English) Zbl 1258.91197 Quant. Finance 11, No. 10, 1503-1516 (2011). MSC: 91G10 91B30 90C90 62P05 PDF BibTeX XML Cite \textit{M. Hellmich} and \textit{S. Kassberger}, Quant. Finance 11, No. 10, 1503--1516 (2011; Zbl 1258.91197) Full Text: DOI OpenURL
Padulo, Mattia; Guenov, Marin D. Worst-case robust design optimization under distributional assumptions. (English) Zbl 1242.76299 Int. J. Numer. Methods Eng. 88, No. 8, 797-816 (2011). MSC: 76N25 65K10 PDF BibTeX XML Cite \textit{M. Padulo} and \textit{M. D. Guenov}, Int. J. Numer. Methods Eng. 88, No. 8, 797--816 (2011; Zbl 1242.76299) Full Text: DOI OpenURL
Joe, Harry; Li, Haijun Tail risk of multivariate regular variation. (English) Zbl 1239.62060 Methodol. Comput. Appl. Probab. 13, No. 4, 671-693 (2011). MSC: 62H05 62G32 62H10 62P05 PDF BibTeX XML Cite \textit{H. Joe} and \textit{H. Li}, Methodol. Comput. Appl. Probab. 13, No. 4, 671--693 (2011; Zbl 1239.62060) Full Text: DOI Link OpenURL
Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; Vernic, Raluca Asymptotics for risk capital allocations based on conditional tail expectation. (English) Zbl 1228.91029 Insur. Math. Econ. 49, No. 3, 310-324 (2011). MSC: 91B30 60G70 60E05 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Insur. Math. Econ. 49, No. 3, 310--324 (2011; Zbl 1228.91029) Full Text: DOI Link OpenURL
Touboul, Jacques Projection pursuit through relative entropy minimization. (English) Zbl 1222.62085 Commun. Stat., Simulation Comput. 40, No. 6, 854-878 (2011). MSC: 62H99 62B10 65C60 62G07 62G20 62H11 PDF BibTeX XML Cite \textit{J. Touboul}, Commun. Stat., Simulation Comput. 40, No. 6, 854--878 (2011; Zbl 1222.62085) Full Text: DOI arXiv OpenURL
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi Optimality of general reinsurance contracts under CTE risk measure. (English) Zbl 1218.91097 Insur. Math. Econ. 49, No. 2, 175-187 (2011). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{K. S. Tan} et al., Insur. Math. Econ. 49, No. 2, 175--187 (2011; Zbl 1218.91097) Full Text: DOI OpenURL
Shi, Peng; Frees, Edward W. Long-tail longitudinal modeling of insurance company expenses. (English) Zbl 1231.91236 Insur. Math. Econ. 47, No. 3, 303-314 (2010). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{P. Shi} and \textit{E. W. Frees}, Insur. Math. Econ. 47, No. 3, 303--314 (2010; Zbl 1231.91236) Full Text: DOI OpenURL
Landsman, Zinoviy On the tail mean-variance optimal portfolio selection. (English) Zbl 1231.91407 Insur. Math. Econ. 46, No. 3, 547-553 (2010). MSC: 91G10 91B84 PDF BibTeX XML Cite \textit{Z. Landsman}, Insur. Math. Econ. 46, No. 3, 547--553 (2010; Zbl 1231.91407) Full Text: DOI OpenURL
Furman, Edward; Landsman, Zinoviy Multivariate Tweedie distributions and some related capital-at-risk analyses. (English) Zbl 1231.91185 Insur. Math. Econ. 46, No. 2, 351-361 (2010). MSC: 91B30 62H10 62E15 62E20 PDF BibTeX XML Cite \textit{E. Furman} and \textit{Z. Landsman}, Insur. Math. Econ. 46, No. 2, 351--361 (2010; Zbl 1231.91185) Full Text: DOI OpenURL
Touboul, Jacques Projection pursuit through \(\varphi \)-divergence minimisation. (English) Zbl 1229.94038 Entropy 12, No. 6, 1581-1611 (2010). MSC: 94A17 62F05 62G08 62J05 62F35 PDF BibTeX XML Cite \textit{J. Touboul}, Entropy 12, No. 6, 1581--1611 (2010; Zbl 1229.94038) Full Text: DOI arXiv OpenURL
Kim, Joseph H. T. Conditional tail moments of the exponential family and its related distributions. (English) Zbl 1219.91071 N. Am. Actuar. J. 14, No. 2, 198-216 (2010). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. H. T. Kim}, N. Am. Actuar. J. 14, No. 2, 198--216 (2010; Zbl 1219.91071) Full Text: DOI OpenURL
Necir, Abdelhakim; Rassoul, Abdelaziz; Zitikis, Ričardas Estimating the conditional tail expectation in the case of heavy-tailed losses. (English) Zbl 1200.91142 J. Probab. Stat. 2010, Article ID 596839, 17 p. (2010). MSC: 91B30 62G05 62G32 91G70 PDF BibTeX XML Cite \textit{A. Necir} et al., J. Probab. Stat. 2010, Article ID 596839, 17 p. (2010; Zbl 1200.91142) Full Text: DOI EuDML OpenURL
Furman, Olga; Furman, Edward On some layer-based risk measures with applications to exponential dispersion models. (English) Zbl 1200.91136 J. Probab. Stat. 2010, Article ID 357321, 19 p. (2010). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{O. Furman} and \textit{E. Furman}, J. Probab. Stat. 2010, Article ID 357321, 19 p. (2010; Zbl 1200.91136) Full Text: DOI EuDML OpenURL
Gupta, Ramesh C.; Kirmani, S. N. U. A.; Srivastava, H. M. Local dependence functions for some families of bivariate distributions and total positivity. (English) Zbl 1187.62108 Appl. Math. Comput. 216, No. 4, 1267-1279 (2010). MSC: 62H20 62H10 62H05 PDF BibTeX XML Cite \textit{R. C. Gupta} et al., Appl. Math. Comput. 216, No. 4, 1267--1279 (2010; Zbl 1187.62108) Full Text: DOI OpenURL
Arashi, M.; Tabatabaey, S. M. M. A note on classical Stein-type estimators in elliptically contoured models. (English) Zbl 1181.62080 J. Stat. Plann. Inference 140, No. 5, 1206-1213 (2010). MSC: 62H12 62C15 PDF BibTeX XML Cite \textit{M. Arashi} and \textit{S. M. M. Tabatabaey}, J. Stat. Plann. Inference 140, No. 5, 1206--1213 (2010; Zbl 1181.62080) Full Text: DOI OpenURL
Bargès, Mathieu; Cossette, Hélène; Marceau, Étienne TVaR-based capital allocation with copulas. (English) Zbl 1231.91141 Insur. Math. Econ. 45, No. 3, 348-361 (2009). MSC: 91B30 91G10 60E05 62H05 PDF BibTeX XML Cite \textit{M. Bargès} et al., Insur. Math. Econ. 45, No. 3, 348--361 (2009; Zbl 1231.91141) Full Text: DOI Link OpenURL
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven Correlation order, merging and diversification. (English) Zbl 1231.91175 Insur. Math. Econ. 45, No. 3, 325-332 (2009). MSC: 91B30 62H20 60E15 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Insur. Math. Econ. 45, No. 3, 325--332 (2009; Zbl 1231.91175) Full Text: DOI OpenURL
Landsman, Zinoviy Elliptical families and copulas: tilting and premium; capital allocation. (English) Zbl 1224.91067 Scand. Actuar. J. 2009, No. 2, 85-103 (2009). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{Z. Landsman}, Scand. Actuar. J. 2009, No. 2, 85--103 (2009; Zbl 1224.91067) Full Text: DOI OpenURL
Stettner, Łukasz Problems of mathematical finance by stochastic control methods. (English) Zbl 1185.91197 Korytowski, Adam (ed.) et al., System modeling and optimization. 23rd IFIP TC 7 conference, Cracow, Poland, July 23–27, 2007. Revised Selected Papers. Berlin: Springer (ISBN 978-3-642-04801-2/hbk; 978-3-642-04802-9/ebook). IFIP Advances in Information and Communication Technology 312, 129-143 (2009). MSC: 91G80 93E20 91-02 PDF BibTeX XML Cite \textit{Ł. Stettner}, IFIP Adv. Inf. Commun. Technol. 312, 129--143 (2009; Zbl 1185.91197) Full Text: DOI OpenURL
Klebaner, Fima C.; Landsman, Zinoviy Option pricing for log-symmetric distributions of returns. (English) Zbl 1170.91385 Methodol. Comput. Appl. Probab. 11, No. 3, 339-357 (2009). MSC: 91G20 60G35 60G42 PDF BibTeX XML Cite \textit{F. C. Klebaner} and \textit{Z. Landsman}, Methodol. Comput. Appl. Probab. 11, No. 3, 339--357 (2009; Zbl 1170.91385) Full Text: DOI OpenURL
Ding, Yuanyao; Zhang, Bo Optimal portfolio of safety-first models. (English) Zbl 1168.62096 J. Stat. Plann. Inference 139, No. 9, 2952-2962 (2009). MSC: 62P05 91B28 65C60 PDF BibTeX XML Cite \textit{Y. Ding} and \textit{B. Zhang}, J. Stat. Plann. Inference 139, No. 9, 2952--2962 (2009; Zbl 1168.62096) Full Text: DOI OpenURL
Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven Bounds and approximations for sums of dependent log-elliptical random variables. (English) Zbl 1162.91440 Insur. Math. Econ. 44, No. 3, 385-397 (2009). MSC: 91B30 91B28 62P05 PDF BibTeX XML Cite \textit{E. A. Valdez} et al., Insur. Math. Econ. 44, No. 3, 385--397 (2009; Zbl 1162.91440) Full Text: DOI OpenURL