Bivariate Tail Conditional Co-Expectation for elliptical distributions

Roy Cerqueti and Arsen Palestini ()
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Roy Cerqueti: GRANEM - Groupe de Recherche Angevin en Economie et Management - UA - Université d'Angers - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement, UNIROMA - Università degli Studi di Roma "La Sapienza" = Sapienza University [Rome]
Arsen Palestini: UNIROMA - Università degli Studi di Roma "La Sapienza" = Sapienza University [Rome]

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Keywords: Tail; Conditional; Co-Expectation; Multivariate; distributions; Elliptical; distributions; Systemic; risk; measure (search for similar items in EconPapers)
Date: 2024-10-01
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Published in Insurance: Mathematics and Economics, 2024, 119, pp.251 - 260. ⟨10.1016/j.insmatheco.2024.09.004⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05114232

DOI: 10.1016/j.insmatheco.2024.09.004

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