Abstract
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.
Original language | English |
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Pages (from-to) | 441-447 |
Number of pages | 7 |
Journal | Insurance: Mathematics and Economics |
Volume | 52 |
Issue number | 3 |
DOIs | |
State | Published - May 2013 |
Bibliographical note
Funding 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).
Keywords
- Comonotonicity
- Log-elliptical distributions
- Tail Variance premium
ASJC Scopus subject areas
- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty