Tail Conditional Expectations for Exponential Dispersion Models
By Zinoviy Landsman, Emiliano A. Valdez. ASTIN Bulletin: The Journal of the International Actuarial Association, 2005
84 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/4104f97119b7ef7fd03216528d3d7c4948c92845
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Edward Furman
- Ricardas Zitikis
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Zinoviy Landsman
- Arthur Chiragiev
- Martin Eling
- Jianxi Su
In Management Science and Operations Research
- Edward Furman
- Ricardas Zitikis
- Zinoviy Landsman
- Arthur Chiragiev
- Martin Eling
- C. Adcock
- Nicola Maria Rinaldo Loperfido
- Jianxi Su
Citations in the corpus
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (2007, methodology): “15 well conforms with the expression for TCE of univariate random variable, given in Landsman & Valdez ( 2005 , Lemma 1)taking into account 3.”
- Skewed distributions in finance and actuarial science: a review (2015, background): “…(2002) studies the multivariate normal, Valdez and Chernih (2003) the multivariate elliptical, Furman and Landsman (2005) a multivariate gamma, Landsman and Valdez (2005) exponential dispersion models, Chiragiev and Landsman (2007) a multivariate Pareto distribution, and Dhaene et al. (2008)…”
- Weighted Pricing Functionals With Applications to Insurance (2009, methodology): “For details on the topic, see Panjer and Jing (2001), Panjer (2002), Landsman and Valdez (2005), Cai and Li (2005), Chiragiev and Landsman (2007), Furman and Landsman (2008), Vernic (2008), Dhaene et al. (2008), and Furman and Zitikis (2008b), and references therein.”
- Risk capital decomposition for a multivariate dependent gamma portfolio (2005, background): “We would like to notice here, that representation (11) coincides with that given in Landsman and Valdez (2003b) .”