Ignatieva, Katja Tail variance for generalised hyper-elliptical models / Katja Ignatieva and Zinoviy Landsman 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 model 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 - 167 1. Matemática del seguro . 2. Valoración de riesgos . 3. Teoría del valor extremo . 4. Distribuciones estadísticas . 5. Riesgo actuarial . 6. Gestión de riesgos . I. Landsman, Zinoviy . II. International Actuarial Association . III. Title.
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