Multivariate tail conditional expectation for elliptical distributions

Keyphrases

• Risk Measures 100%
• Elliptical Distribution 100%
• Elliptical Family 100%
• Multivariate Tail Conditional Expectation 100%
• Motivation 50%
• Popular 50%
• Covariation 50%
• Numerical Examples 50%
• Closed-form Expression 50%
• Dependency Structure 50%
• Tail Conditional Expectation 50%
• Student-t Distribution 50%
• Family of Distributions 50%
• Actuarial Science 50%
• Normal Students 50%
• Novel Type 50%

Mathematics

• Conditional Expectation 100%
• Elliptical Distribution 100%
• Risk Measure 66%
• Numerical Example 33%
• Closed Form 33%
• Actuarial Science 33%
• Real Data 33%