Related papers: Conditional tail risk expectations for location-sc…
In this paper, we focus on multivariate doubly truncated first two moments of generalized skew-elliptical (GSE) distributions and derive explicit expressions for them. It includes many useful distributions, for examples, generalized…
Capital allocation is a procedure used to assess the risk contributions of individual risk components to the total risk of a portfolio. While the conditional tail expectation (CTE)-based capital allocation is arguably the most popular…
In this paper, the multivariate tail covariance (MTCov) for generalized skew-elliptical distributions is considered. Some special cases for this distribution, such as generalized skew-normal, generalized skew student-t, generalized…
The main objective of this work is to calculate the multivariate double truncated expectation (MDTE) and covariance (MDTCov) for elliptical distributions. We also consider double truncated expectation (DTE) and variance (DTV) for univariate…
In this paper, we investigate the extreme-value methodology, to propose an improved estimator of the conditional tail expectation ($CTE$) for a loss distribution with a finite mean but infinite variance. The present work introduces a new…
This paper proposes a unified class of generalized location-scale mixture of multivariate elliptical distributions and studies integral stochastic orderings of random vectors following such distributions. Given a random vector…
We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, environmental and biostatistic applications. We obtain the…
We present the elliptical processes -- a family of non-parametric probabilistic models that subsumes the Gaussian process and the Student-t process. This generalization includes a range of new fat-tailed behaviors yet retains computational…
In this paper we provide a new criterion for the comparison of claims, when we have conditional claims arising in stop loss contracts or contracts with franchise deductible. These stochastic comparisons are made on the basis of the Tail…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
The increasing penetration of embedded renewables makes forecasting net-load, consumption less embedded generation, a significant and growing challenge. Here a framework for producing probabilistic forecasts of net-load is proposed with…
We present elliptical processes, a family of non-parametric probabilistic models that subsume Gaussian processes and Student's t processes. This generalization includes a range of new heavy-tailed behaviors while retaining computational…
This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to…
The aim of this paper is to study the asymptotic behavior of a particular multivariate risk measure, the Covariate-Conditional-Tail-Expectation (CCTE), based on a multivariate statistical depth function. Depth functions have become…
We analyze systems of agents sharing light-tailed risky claims issued by different financial objects. Assuming exponentially distributed claims, we obtain that both agents' and system's losses follow generalized exponential mixture…
Expectile, as the minimizer of an asymmetric quadratic loss function, is a coherent risk measure and is helpful to use more information about the distribution of the considered risk. In this paper, we propose a new risk measure by replacing…
Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various…
A usual reinsurance policy for insurance companies admits one or two layers of the payment deductions. Under optimal criterion of minimizing the conditional tail expectation (CTE) risk measure of the insurer's total risk, this article…
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…