Conditional tail expectations for multivariate phase-type distributions

By Jun Cai, Haijun Li. 2005

67 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2ba52cd0dd5e0a493424ad7cb10e8be94f49836d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Arthur Chiragiev
2. Zinoviy Landsman
3. Edward Furman
4. Emiliano A. Valdez
5. Ricardas Zitikis
6. Hélène Cossette
7. É. Marceau
8. Mélina Mailhot

In Management Science and Operations Research

1. Arthur Chiragiev
2. Zinoviy Landsman
3. Edward Furman
4. Emiliano A. Valdez
5. Ricardas Zitikis
6. Hélène Cossette
7. É. Marceau
8. Mélina Mailhot

In Statistics and Probability

1. Zinoviy Landsman

Citations in the corpus

• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (2007, background): “It seems Cai & Li (2005) on the phase-type distributions, and Furman & Landsman (2005) on multivariate gamma model, are the only articles considered non-negative multivariate models.”
• Weighted Risk Capital Allocations (2008, unknown): “For results, which are mainly related to TCEtype capital allocations, we refer to Hurlimann (2001), Panjer and Jing (2001), Panjer (2002), Landsman and Valdez (2003), Cai and Li (2005) , Furman and Landsman (2005, 2007), Chiragiev and Landsman (2007), Vernic (2008) and Dhaene et al. (2008a,b), and ”