Tail conditional risk measures for location-scale mixture of elliptical distributions

2021 ◽  
pp. 1-25
Author(s):  
Baishuai Zuo ◽  
Chuancun Yin
Keyword(s):  
Risk Measures ◽  
Elliptical Distributions ◽  
Scale Mixture ◽  
Conditional Risk ◽  
Conditional Risk Measures

The relations among the three kinds of conditional risk measures

2014 ◽  
Vol 57 (8) ◽  
pp. 1753-1764 ◽  
Author(s):  
TieXin Guo ◽  
ShiEn Zhao ◽  
XiaoLin Zeng
Keyword(s):  
Risk Measures ◽  
Conditional Risk ◽  
Conditional Risk Measures

scholarly journals Strongly consistent multivariate conditional risk measures

2018 ◽  
Vol 12 (3) ◽  
pp. 413-444 ◽  
Author(s):  
Hannes Hoffmann ◽  
Thilo Meyer-Brandis ◽  
Gregor Svindland
Keyword(s):  
Risk Measures ◽  
Conditional Risk ◽  
Conditional Risk Measures ◽  
Strongly Consistent
Sign in / Sign up

Export Citation Format

Share Document