Tail Conditional Expectations for Elliptical Distributions

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Cite
Landsman, Zinoviy M., and Emiliano A. Valdez. “Tail Conditional Expectations for Elliptical Distributions”. North American Actuarial Journal, vol. 7, no. 4, 2003, pp. 55-71, https://doi.org/10.1080/10920277.2003.10596118.
Landsman, Z. M., & Valdez, E. A. (2003). Tail Conditional Expectations for Elliptical Distributions. North American Actuarial Journal, 7(4), 55-71. https://doi.org/10.1080/10920277.2003.10596118
Landsman, Zinoviy M., and Emiliano A. Valdez. “Tail Conditional Expectations for Elliptical Distributions”. North American Actuarial Journal 7, no. 4 (2003): 55-71. https://doi.org/10.1080/10920277.2003.10596118.
Landsman ZM, Valdez EA. Tail Conditional Expectations for Elliptical Distributions. North American Actuarial Journal. 2003;7(4):55-71.
Journal Category
Social Sciences
Finance
Refrences
Title Journal Journal Categories Citations Publication Date
An Actuarial Index of the Right-Tail Risk North American Actuarial Journal
  • Social Sciences: Finance
 73 1998
Relative Importance of Risk Sources in Insurance Systems North American Actuarial Journal
  • Social Sciences: Finance
 12 1998
Tail dependence for elliptically contoured distributions Mathematical Methods of Operations Research
  • Technology: Manufactures: Production management. Operations management
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
  • Technology: Engineering (General). Civil engineering (General)
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 90 2002
Multivariate extremes, aggregation and dependence in elliptical distributions

 Advances in Applied Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 130 2002
10.1016/S0167-6687(02)00119-1 2002
Citations
Title Journal Journal Categories Citations Publication Date
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models Annals of Operations Research
  • Technology: Manufactures: Production management. Operations management
  • Science: Mathematics
  • Technology: Engineering (General). Civil engineering (General)
  • Technology: Engineering (General). Civil engineering (General)
 2023
Asymptotics of the loss-based tail risk measures in the presence of extreme risks European Actuarial Journal
  • Social Sciences: Finance
  • Science: Mathematics: Probabilities. Mathematical statistics
 2023
A Weissman-type estimator of the conditional marginal expected shortfall Econometrics and Statistics 3 2023
Doubly truncated expectation and variance of univariate generalized skew-elliptical distributions with applications Communications in Statistics - Simulation and Computation
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 2023
Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk Quantitative Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2023
Citations Analysis
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Science: Mathematics138
Science: Mathematics: Probabilities. Mathematical statistics112
Social Sciences: Economic theory. Demography: Economics as a science86
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The category Science: Mathematics 138 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Wang’s capital allocation formula for elliptically contoured distributions and was published in 2003. The most recent citation comes from a 2023 study titled Risk Parity Portfolio Optimization under Heavy-Tailed Returns and Time-Varying Volatility. This article reached its peak citation in 2021, with 18 citations. It has been cited in 86 different journals, 6% of which are open access. Among related journals, the Insurance: Mathematics and Economics cited this research the most, with 48 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year