{"id":"https://openalex.org/W3151538228","doi":"https://doi.org/10.3390/sym13040559","title":"Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks","display_name":"Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks","publication_year":2021,"publication_date":"2021-03-28","ids":{"openalex":"https://openalex.org/W3151538228","doi":"https://doi.org/10.3390/sym13040559","mag":"3151538228"},"language":"en","primary_location":{"id":"doi:10.3390/sym13040559","is_oa":true,"landing_page_url":"https://doi.org/10.3390/sym13040559","pdf_url":"https://www.mdpi.com/2073-8994/13/4/559/pdf?version=1617937622","source":{"id":"https://openalex.org/S190787756","display_name":"Symmetry","issn_l":"2073-8994","issn":["2073-8994"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Symmetry","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/2073-8994/13/4/559/pdf?version=1617937622","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5086826348","display_name":"Zinoviy Landsman","orcid":"https://orcid.org/0000-0002-7369-6745"},"institutions":[{"id":"https://openalex.org/I157943965","display_name":"Holon Institute of Technology","ror":"https://ror.org/02prqh017","country_code":"IL","type":"education","lineage":["https://openalex.org/I157943965"]},{"id":"https://openalex.org/I91203450","display_name":"University of Haifa","ror":"https://ror.org/02f009v59","country_code":"IL","type":"education","lineage":["https://openalex.org/I91203450"]}],"countries":["IL"],"is_corresponding":false,"raw_author_name":"Zinoviy Landsman","raw_affiliation_strings":["Actuarial Research Center, Department of Statistics, University of Haifa, Haifa 3498838, Israel","Faculty of Science, Holon Institute of Technology, Holon 5810201, Israel"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Actuarial Research Center, Department of Statistics, University of Haifa, Haifa 3498838, Israel","institution_ids":["https://openalex.org/I91203450"]},{"raw_affiliation_string":"Faculty of Science, Holon Institute of Technology, Holon 5810201, Israel","institution_ids":["https://openalex.org/I157943965"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5002141009","display_name":"Tomer Shushi","orcid":"https://orcid.org/0000-0003-1164-5747"},"institutions":[{"id":"https://openalex.org/I124227911","display_name":"Ben-Gurion University of the Negev","ror":"https://ror.org/05tkyf982","country_code":"IL","type":"education","lineage":["https://openalex.org/I124227911"]}],"countries":["IL"],"is_corresponding":true,"raw_author_name":"Tomer Shushi","raw_affiliation_strings":["Department of Business Administration, Guilford Glazer Faculty of Business and Management, Ben-Gurion University of the Negev, Beer-Sheva 8410501, Israel"],"raw_orcid":"https://orcid.org/0000-0003-1164-5747","affiliations":[{"raw_affiliation_string":"Department of Business Administration, Guilford Glazer Faculty of Business and Management, Ben-Gurion University of the Negev, Beer-Sheva 8410501, Israel","institution_ids":["https://openalex.org/I124227911"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5002141009"],"corresponding_institution_ids":["https://openalex.org/I124227911"],"apc_list":{"value":2000,"currency":"CHF","value_usd":2165},"apc_paid":{"value":2000,"currency":"CHF","value_usd":2165},"fwci":0.6914,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.72284321,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"13","issue":"4","first_page":"559","last_page":"559"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.996399998664856,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.996399998664856,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.995199978351593,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9886999726295471,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.8656131029129028},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5419621467590332},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5391538143157959},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5219057202339172},{"id":"https://openalex.org/keywords/multivariate-analysis","display_name":"Multivariate analysis","score":0.5201935768127441},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.5064235925674438},{"id":"https://openalex.org/keywords/elliptical-distribution","display_name":"Elliptical distribution","score":0.47940537333488464},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.47929638624191284},{"id":"https://openalex.org/keywords/skew","display_name":"Skew","score":0.46992790699005127},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.4371464252471924},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.4368228614330292},{"id":"https://openalex.org/keywords/tail-dependence","display_name":"Tail dependence","score":0.43491125106811523},{"id":"https://openalex.org/keywords/multivariate-normal-distribution","display_name":"Multivariate normal distribution","score":0.38855278491973877},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2002260684967041},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.1898234486579895},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.11757507920265198},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.09526598453521729}],"concepts":[{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.8656131029129028},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5419621467590332},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5391538143157959},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5219057202339172},{"id":"https://openalex.org/C38180746","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate analysis","level":2,"score":0.5201935768127441},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.5064235925674438},{"id":"https://openalex.org/C130545031","wikidata":"https://www.wikidata.org/wiki/Q5365806","display_name":"Elliptical distribution","level":4,"score":0.47940537333488464},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.47929638624191284},{"id":"https://openalex.org/C43711488","wikidata":"https://www.wikidata.org/wiki/Q7534783","display_name":"Skew","level":2,"score":0.46992790699005127},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4371464252471924},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.4368228614330292},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.43491125106811523},{"id":"https://openalex.org/C177384507","wikidata":"https://www.wikidata.org/wiki/Q1149000","display_name":"Multivariate normal distribution","level":3,"score":0.38855278491973877},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2002260684967041},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1898234486579895},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.11757507920265198},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.09526598453521729},{"id":"https://openalex.org/C76155785","wikidata":"https://www.wikidata.org/wiki/Q418","display_name":"Telecommunications","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.3390/sym13040559","is_oa":true,"landing_page_url":"https://doi.org/10.3390/sym13040559","pdf_url":"https://www.mdpi.com/2073-8994/13/4/559/pdf?version=1617937622","source":{"id":"https://openalex.org/S190787756","display_name":"Symmetry","issn_l":"2073-8994","issn":["2073-8994"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Symmetry","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:74a05d05d5984486b4cc0b2576e0a15c","is_oa":true,"landing_page_url":"https://doaj.org/article/74a05d05d5984486b4cc0b2576e0a15c","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Symmetry, Vol 13, Iss 4, p 559 (2021)","raw_type":"article"},{"id":"pmh:oai:mdpi.com:/2073-8994/13/4/559/","is_oa":true,"landing_page_url":"https://dx.doi.org/10.3390/sym13040559","pdf_url":null,"source":{"id":"https://openalex.org/S4306400947","display_name":"MDPI (MDPI AG)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210097602","host_organization_name":"Multidisciplinary Digital Publishing Institute (Switzerland)","host_organization_lineage":["https://openalex.org/I4210097602"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Symmetry","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.3390/sym13040559","is_oa":true,"landing_page_url":"https://doi.org/10.3390/sym13040559","pdf_url":"https://www.mdpi.com/2073-8994/13/4/559/pdf?version=1617937622","source":{"id":"https://openalex.org/S190787756","display_name":"Symmetry","issn_l":"2073-8994","issn":["2073-8994"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Symmetry","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1797568707","display_name":null,"funder_award_id":"1686/17","funder_id":"https://openalex.org/F4320322252","funder_display_name":"Israel Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320322252","display_name":"Israel Science Foundation","ror":"https://ror.org/04sazxf24"}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3151538228.pdf"},"referenced_works_count":27,"referenced_works":["https://openalex.org/W945158611","https://openalex.org/W1979420202","https://openalex.org/W2014583745","https://openalex.org/W2035990246","https://openalex.org/W2038260366","https://openalex.org/W2041877085","https://openalex.org/W2074289229","https://openalex.org/W2075531413","https://openalex.org/W2081286056","https://openalex.org/W2085317472","https://openalex.org/W2145768101","https://openalex.org/W2195552042","https://openalex.org/W2423790469","https://openalex.org/W2521334532","https://openalex.org/W2524303159","https://openalex.org/W2620046803","https://openalex.org/W2800478452","https://openalex.org/W2921948029","https://openalex.org/W2963872526","https://openalex.org/W3023600880","https://openalex.org/W3024149675","https://openalex.org/W3035336702","https://openalex.org/W3100441015","https://openalex.org/W3120824511","https://openalex.org/W3124105088","https://openalex.org/W6624731369","https://openalex.org/W6789124968"],"related_works":["https://openalex.org/W4315866209","https://openalex.org/W3127336134","https://openalex.org/W2963715180","https://openalex.org/W2947044224","https://openalex.org/W2970311775","https://openalex.org/W2207306351","https://openalex.org/W2142219299","https://openalex.org/W4287753573","https://openalex.org/W2073315293","https://openalex.org/W2739898444"],"abstract_inverted_index":{"The":[0,16],"class":[1],"of":[2,39,48,90,98,106],"log-elliptical":[3,91,157],"distributions":[4],"is":[5,18,36,58],"well":[6,124],"used":[7],"and":[8,13,24,82,119],"studied":[9],"in":[10,33],"risk":[11,43,76],"measurement":[12],"actuarial":[14],"science.":[15],"reason":[17],"that":[19],"risks":[20,32,62,100],"are":[21],"often":[22],"skewed":[23],"positive":[25],"when":[26],"they":[27],"describe":[28],"pure":[29],"risks,":[30,51],"i.e.,":[31,109],"which":[34,93],"there":[35],"no":[37],"possibility":[38],"profit.":[40],"In":[41,68],"practice,":[42],"managers":[44],"confront":[45],"a":[46],"system":[47],"mutually":[49],"dependent":[50],"not":[52],"only":[53],"one":[54],"risk.":[55],"Thus,":[56],"it":[57],"important":[59],"to":[60],"measure":[61,86],"while":[63,101],"capturing":[64],"their":[65,107],"dependence":[66,96],"structure.":[67],"this":[69],"short":[70],"paper,":[71],"we":[72,134],"compute":[73],"the":[74,88,95,99,104,126,137,156],"multivariate":[75,78,83,139],"measures,":[77],"tail":[79,84,105,140],"conditional":[80],"expectation,":[81],"covariance":[85],"for":[87,146,155],"family":[89],"distributions,":[92,108],"captures":[94],"structure":[97],"focusing":[102],"on":[103,110,151],"extreme":[111],"loss":[112],"events.":[113],"We":[114],"then":[115],"study":[116],"our":[117],"result":[118],"examine":[120],"special":[121],"cases,":[122],"as":[123,125],"optimal":[127],"portfolio":[128],"selection":[129],"using":[130],"such":[131],"measures.":[132],"Finally,":[133],"show":[135],"how":[136],"given":[138,154],"moments":[141],"can":[142],"also":[143],"be":[144],"computed":[145],"log-skew":[147],"elliptical":[148],"models":[149],"based":[150],"similar":[152],"approaches":[153],"case.":[158]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2}],"updated_date":"2026-05-22T06:13:13.366637","created_date":"2025-10-10T00:00:00"}
