Seção: ArtigosTítulo: Tail Variance premiums for log-elliptical distributions / Zinoviy Landsman, Nika Pat, Jan DhaeneAutor: Landsman, ZinoviyNotas: Sumario: In this paper we derive expressions for the Tail Variance and the Tail Variance Premium of risks in a multivariate log-elliptical setting. The theoretical results are illustrated by considering lognormal and log-Laplace distributions. We also derive approximate expressions for a Tail Variance-based allocation rule in a multivariate lognormal setting. A numerical example illustrates the accurateness of the proposed approximations.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 06/05/2013 Volumen 52 Número 3 - mayo 2013 Outras classificações: 6Direitos: In Copyright (InC)Referencias externas:
