A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures

Keyphrases

• Aggregate Loss 16%
• Closed-form Expression 16%
• Conditional Tail Risk Measures 100%
• Correlated Risk 16%
• Elliptical Distribution 100%
• Elliptical Family 66%
• Extreme Losses 16%
• Extreme Tails 16%
• Family of Distributions 50%
• Financial Companies 16%
• Gaussian Mixture 16%
• Generalized Hyperbolic 16%
• Generalized Hyperbolic Distribution 16%
• Generalized Inverse Gaussian Distribution 50%
• HyPer 100%
• Individual Risk 16%
• Insurance Loss Data 33%
• Laplace 16%
• Multivariate Analysis 16%
• Risk Measures 16%
• Tail Conditional Expectation 66%

Mathematics

• Closed Form 25%
• Conditional Expectation 100%
• Conditionals 100%
• Elliptical Distribution 100%
• Inverse Gaussian 50%
• Inverse Gaussian Distribution 25%
• Loss Insurance 50%
• Multivariate Analysis 25%
• Risk Measure 100%