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On the generalization of Esscher and variance premiums modified for the elliptical family of distributions

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  • Landsman, Zinoviy

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  • Landsman, Zinoviy, 2004. "On the generalization of Esscher and variance premiums modified for the elliptical family of distributions," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 563-579, December.
    • Handle: RePEc:eee:insuma:v:35:y:2004:i:3:p:563-579
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    References listed on IDEAS

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    1. Zhou, Guofu, 1993. "Asset-Pricing Tests under Alternative Distributions," Journal of Finance, American Finance Association, vol. 48(5), pages 1927-1942, December.
    2. N. H. Bingham & Rudiger Kiesel, 2002. "Semi-parametric modelling in finance: theoretical foundations," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 241-250.
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    Cited by:

    1. Landsman, Zinoviy, 2010. "On the Tail Mean-Variance optimal portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 547-553, June.
    2. Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Multivariate tail conditional expectation for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 216-223.
    3. Shushi, Tomer, 2018. "Stein’s lemma for truncated elliptical random vectors," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 297-303.
    4. Pellerey, Franco & Laniado Rodas, Henry, 2012. "Portfolio selection through and extremality stochastic order," DES - Working Papers. Statistics and Econometrics. WS ws121812, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Laniado, Henry & Lillo, Rosa E. & Pellerey, Franco & Romo, Juan, 2012. "Portfolio selection through an extremality stochastic order," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 1-9.

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