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Tail conditional expectation for multivariate distributions: A game theory approach

  • Published:2013-10 Issue:10 Volume:83 Page:2228-2235
  • ISSN:0167-7152
  • Container-title:Statistics & Probability Letters
  • language:en
  • Short-container-title:Statistics & Probability Letters

Author:

Abbasi Babak,Hosseinifard S. Zahra

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference16 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. Skewed bivariate models and nonparametric estimation for the CTE risk measure;Bolance;Insurance: Mathematics and Economics,2008

3. Coherent allocation of risk capital;Denault;Journal of Risk,2001

4. Cooperative Games; Solutions and Applications;Driessen,1988

5. Risk capital decomposition for a multivariate dependent gamma portfolio;Furman;Insurance: Mathematics and Economics,2005

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