Section: Articles Title: Tail variance for generalised hyper-elliptical models / Katja Ignatieva and Zinoviy LandsmanAuthor: Ignatieva, Katja Notes: Sumario: This paper introduces a novel theoretical framework that offers a closed-form expression for the tail variance (TV) for the novel family of generalised hyper-elliptical (GHE) distributions. The GHE family combines an elliptical distribution with the generalised inverse Gaussian (GIG) distribution, resulting in a highly adaptable and powerful modelRelated records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 29/01/2025 Volume 55 Issue 1 - January 2025 , p. 144 - 167Materia / lugar / evento: Matemática del seguro Valoración de riesgos Teoría del valor extremo Distribuciones estadísticas Riesgo actuarial Gestión de riesgos Otros autores: Landsman, Zinoviy International Actuarial Association Other categories: 6 Rights: In Copyright (InC)
Centro de Documentación y Conocimiento
Centro de Documentación y Conocimiento