Tail Variance premiums for log-elliptical distributions

Zinoviy Landsman, Nika Pat and Jan Dhaene

Insurance: Mathematics and Economics, 2013, vol. 52, issue 3, 441-447

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: Tail Variance premium; Log-elliptical distributions; Comonotonicity (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:3:p:441-447

DOI: 10.1016/j.insmatheco.2013.02.012

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