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.
Bibliographical noteFunding Information:
JD acknowledges the financial support of the Onderzoeksfonds K.U. Leuven (GOA/07: Risk Modeling and Valuation of Insurance and Financial Cash Flows, with Applications to Pricing, Provisioning and Solvency).
- Log-elliptical distributions
- Tail Variance premium
ASJC Scopus subject areas
- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty