Risk measures for skew normal mixtures

DOI10.1016/J.SPL.2013.04.016zbMath1284.62105OpenAlexW1966170140MaRDI QIDQ383836

Mauro Bernardi

Publication date: 6 December 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/39828/1/MPRA_paper_39828.pdf

zbMATH Keywords

value-at-riskrisk measuresexpected shortfallskew normal distributionsfinite mixtures

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Reliability and life testing (62N05)

Related Items (8)

Bayesian tail risk interdependence using quantile regression ⋮ Finite mixtures of canonical fundamental skew \(t\)-distributions. The unification of the restricted and unrestricted skew \(t\)-mixture models ⋮ Evaluating Risk Measures Using the Normal Mean-Variance Birnbaum-Saunders Distribution ⋮ Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence ⋮ The skew normal multivariate risk measurement framework ⋮ The sparse method of simulated quantiles: An application to portfolio optimization ⋮ Skew mixture models for loss distributions: a Bayesian approach ⋮ Tail variance of portfolio under generalized Laplace distribution

Cites Work

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• Skew mixture models for loss distributions: a Bayesian approach
• Skew-Normal Mixture and Markov-Switching GARCH Processes
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Bayesian inference for finite mixtures of univariate and multivariate skew-normal and skew-t distributions
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• Finite mixture models

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