Tail Variance premiums for log-elliptical distributions

Zinoviy Landsman; Nika Pat; Jan Dhaene

doi:10.1016/j.insmatheco.2013.02.012

Tail Variance premiums for log-elliptical distributions

Zinoviy Landsman, Nika Pat, Jan Dhaene

Department of Statistics

Research output: Contribution to journal › Article › peer-review

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
Pages (from-to)	441-447
Number of pages	7
Journal	Insurance: Mathematics and Economics
Volume	52
Issue number	3
DOIs	https://doi.org/10.1016/j.insmatheco.2013.02.012
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

Access to Document

10.1016/j.insmatheco.2013.02.012

Cite this

@article{fc5e3b67377941e1a22a4cd5605f69ae,

title = "Tail Variance premiums for log-elliptical distributions",

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.",

keywords = "Comonotonicity, Log-elliptical distributions, Tail Variance premium",

author = "Zinoviy Landsman and Nika Pat and Jan Dhaene",

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).",

year = "2013",

month = may,

doi = "10.1016/j.insmatheco.2013.02.012",

language = "English",

volume = "52",

pages = "441--447",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier",

number = "3",

}

TY - JOUR

T1 - Tail Variance premiums for log-elliptical distributions

AU - Landsman, Zinoviy

AU - Pat, Nika

AU - Dhaene, Jan

N1 - 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).

PY - 2013/5

Y1 - 2013/5

N2 - 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.

AB - 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.

KW - Comonotonicity

KW - Log-elliptical distributions

KW - Tail Variance premium

UR - http://www.scopus.com/inward/record.url?scp=84875768637&partnerID=8YFLogxK

U2 - 10.1016/j.insmatheco.2013.02.012

DO - 10.1016/j.insmatheco.2013.02.012

M3 - Article

AN - SCOPUS:84875768637

SN - 0167-6687

VL - 52

SP - 441

EP - 447

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 3

ER -

Tail Variance premiums for log-elliptical distributions

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this