Tail variance for generalised hyper-elliptical models

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<title>Tail variance for generalised hyper-elliptical models</title>
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<namePart>Ignatieva, Katja</namePart>
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<namePart>Landsman, Zinoviy</namePart>
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<dateIssued encoding="marc">2025</dateIssued>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Katja Ignatieva and Zinoviy Landsman</note>
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<topic>Matemática del seguro</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080604394">
<topic>Valoración de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080615611">
<topic>Teoría del valor extremo</topic>
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<topic>Distribuciones estadísticas</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090039629">
<topic>Riesgo actuarial</topic>
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<topic>Gestión de riesgos</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>29/01/2025 Volume 55 Issue 1 - January 2025 , p. 144 - 167</text>
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