Tail variance premium with applications for elliptical portfolio of risks

Keyphrases

• Tail Variance Premium 100%
• Risk Manager 75%
• Risk Measures 75%
• Variance Risk 50%
• Popular 25%
• Optimal Threshold 25%
• Distinctive Features 25%
• Insurance 25%
• Additivity 25%
• Tail Distribution 25%
• Rule-based 25%
• Tail Conditional Expectation 25%
• Multivariate Elliptical Distribution 25%
• Tail Variance 25%
• Risk Capital 25%
• Actuary 25%
• Loss Distribution 25%
• Subadditivity 25%
• Decomposition Rule 25%
• Insurance Companies 25%
• Financial Data 25%
• Allocation Method 25%
• Reinsurance 25%

Computer Science

• Loss Distribution 100%
• Normal Distribution 100%
• Distinctive Feature 100%
• Desirable Property 100%
• Optimal Threshold 100%

Mathematics

• Variance 100%
• Risk Measure 60%
• Minimizes 20%
• Explicit Expression 20%
• Marginals 20%
• Gaussian Distribution 20%
• Conditional Expectation 20%
• Elliptical Distribution 20%
• Desirable Property 20%
• Deductible 20%
• Loss Distribution 20%