On the public citation graph

Mean-tail Gini framework for actuarial risk allocation of heavy-tailed losses

https://doi.org/10.2139/ssrn.7333922
0 signed · 28 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4757-2763-0openalex-snapshot
Fractals and Scaling in Finance
inferredcites →https://doi.org/10.1016/j.ejor.2024.03.016openalex-snapshot
Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
inferredcites →https://doi.org/10.1016/j.iref.2005.03.003openalex-snapshot
Mean-semivariance behavior: Downside risk and capital asset pricing
inferredcites →https://doi.org/10.1016/j.jbankfin.2017.06.013openalex-snapshot
Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks
inferredcites →https://doi.org/10.1016/j.ribaf.2023.102021openalex-snapshot
A Fractal and Comparative View of the Memory of Bitcoin and S&P 500 Returns
inferredcites →https://doi.org/10.1016/j.risk.2024.100003openalex-snapshot
Infinite-mean models in risk management: Discussions and recent advances
inferredcites →https://doi.org/10.1016/s0378-4266(00)00160-6openalex-snapshot
Optimal portfolio selection in a Value-at-Risk framework
inferredcites →https://doi.org/10.1016/s0378-4266(96)00032-5openalex-snapshot
Portfolio selection and skewness: Evidence from international stock markets
inferredcites →https://doi.org/10.1016/s0927-0507(05)80045-3openalex-snapshot
Chapter 1 Portfolio theory
inferredcites →https://doi.org/10.1016/s1566-0141(02)00042-0openalex-snapshot
Systematic risk in emerging markets: the D-CAPM
inferredcites →https://doi.org/10.1017/asb.2015.10openalex-snapshot
PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
inferredcites →https://doi.org/10.1017/asb.2017.20openalex-snapshot
BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL
inferredcites →https://doi.org/10.1017/cbo9780511615337.008openalex-snapshot
Correlation and Dependence in Risk Management: Properties and Pitfalls
inferredcites →https://doi.org/10.1017/s0515036100014124openalex-snapshot
Tail Conditional Expectations for Exponential Dispersion Models
inferredcites →https://doi.org/10.1080/03610928708829359openalex-snapshot
A Measure Of Association Based On Gin's Mean Difference
inferredcites →https://doi.org/10.1080/10920277.2003.10596118openalex-snapshot
Tail Conditional Expectations for Elliptical Distributions
inferredcites →https://doi.org/10.1086/294632openalex-snapshot
The Variation of Certain Speculative Prices
inferredcites →https://doi.org/10.1093/rfs/14.2.371openalex-snapshot
Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
inferredcites →https://doi.org/10.1111/j.1354-7798.2006.00309.xopenalex-snapshot
Optimal Portfolio Allocation under Higher Moments
inferredcites →https://doi.org/10.1111/j.1475-6803.2005.00114.xopenalex-snapshot
THE MEAN‐GINI EFFICIENT PORTFOLIO FRONTIER
inferredcites →https://doi.org/10.1111/j.1540-6261.1983.tb02499.xopenalex-snapshot
On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice
inferredcites →https://doi.org/10.1287/mnsc.37.5.519openalex-snapshot
Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market
inferredcites →https://doi.org/10.1287/mnsc.39.5.568openalex-snapshot
Portfolio Selection and Asset Pricing—Three-Parameter Framework
inferredcites →https://doi.org/10.1287/moor.2015.0755openalex-snapshot
Joint Mixability
inferredcites →https://doi.org/10.1287/moor.2020.1072openalex-snapshot
A Theory for Measures of Tail Risk
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-snapshot
Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.2143/ast.20.2.2005441openalex-snapshot
Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation
inferredcites →https://doi.org/10.2143/ast.36.2.2017929openalex-snapshot
Tail Variance Premium with Applications for Elliptical Portfolio of Risks
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.