Multivariate tail moments for log-elliptical dependence structures as measures of risks

Keyphrases

• Risk Measures 100%
• Dependence Structure 100%
• Tail Moment 100%
• Log-elliptical Distribution 66%
• Extreme Losses 33%
• Risk Manager 33%
• Risk Measurement 33%
• Optimal Portfolio Selection 33%
• Measurement Science 33%
• Actuarial Science 33%
• Interdependent Risks 33%
• Multivariate Risk Measures 33%
• Loss Event 33%
• Multivariate Tail Conditional Expectation 33%
• Covariance Metric 33%
• Multivariate Tail Covariance 33%
• Pure Risks 33%
• Elliptical Model 33%

Mathematics

• Dependence Structure 100%
• Elliptical Distribution 66%
• Risk Measure 66%
• Covariance 33%
• Conditional Expectation 33%
• Actuarial Science 33%