In this paper, we study the pricing problems of basket options and spread options under the
Normal Tempered Stable Lévy model, which is a general model for financial assets and …

In this paper, we investigate two novel risk measures under the weighted risk aggregation
model: Tail Moment (TM) and Tail Joint Moment (TJM). These measures encompass …

We present the general results on the univariate tail conditional moments for a location-
scale mixture of elliptical distributions. Examples include the location-scale mixture of …

In this paper, we investigate multivariate doubly truncated moments for a class of
multivariate location-scale mixture of elliptical (LSME) distributions. This rich family includes …

Capital allocation is a core task in financial and actuarial risk management. Some well-
known capital allocation principles, such as the “Euler principle” and the “haircut principle” …

In this paper, we propose synthetic analytical approximate pricing formulas for basket and
basket spread options within a multidimensional correlated skew Brownian motion …