TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS

DOI10.1017/S0269964820000674OpenAlexW3120417748MaRDI QIDQ5051183

Baishuai Zuo, Chuan-Cun Yin

Publication date: 22 November 2022

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964820000674

zbMATH Keywords

multivariate risk measuresgeneralized skew-elliptical distributionstail conditional expectationsgeneralized skew student-\(t\)generalized skew-Laplacegeneralized skew-logistic

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
• A multivariate tail covariance measure for elliptical distributions
• Conditional tail risk measures for the skewed generalised hyperbolic family
• Stein's lemma for elliptical random vectors
• Multivariate tail conditional expectation for elliptical distributions
• Conditional Tail Moments of the Exponential Family and Its Related Distributions
• Some expansion formulas for a class of generalized Hurwitz–Lerch Zeta functions
• Stein’s Lemma for generalized skew-elliptical random vectors
• Multivariate tail conditional expectation for scale mixtures of skew-normal distribution
• Tail Conditional Expectations for Elliptical Distributions

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