Asymptotics of multivariate conditional risk measures for Gaussian risks
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.03.003
Abstract: Abstract This paper investigates accurate approximations of marginal moment excess, marginal conditional tail moment and marginal moment shortfall for multivariate Gaussian system risks. Based on the dimension reduction property via the quadratic programming problem, the… read more here.
Keywords: moment; risk; risk measures; multivariate conditional ... See more keywords