Multivariate tail conditional expectation for scale mixtures of skew-normal distribution

DOI10.1080/00949655.2019.1657864OpenAlexW2971079931WikidataQ127314962 ScholiaQ127314962MaRDI QIDQ5107515

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Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2019.1657864

zbMATH Keywords

skew-normal distributionmultivariate risk measurestail conditional expectationscale mixtures of skew-normal distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05)

Related Items (6)

Multivariate tail covariance risk measure for generalized skew-elliptical distributions ⋮ On formulations of skew factor models: skew factors and/or skew errors ⋮ TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS ⋮ Higher-order expansions of sample range from skew-normal distribution ⋮ Flexible Modelling via Multivariate Skew Distributions ⋮ Tail conditional risk measures for location-scale mixture of elliptical distributions

Uses Software

• sn

Cites Work

• Truncated skew-normal distributions: moments, estimation by weighted moments and application to climatic data
• A multivariate tail covariance measure for elliptical distributions
• Skew-elliptical distributions with applications in risk theory
• Multivariate skew-normal generalized hyperbolic distribution and its properties
• Multivariate skew-normal distributions with applications in insurance
• Multivariate tail conditional expectation for elliptical distributions
• The Skew-Normal and Related Families
• The multivariate skew-normal distribution
• Tail Conditional Expectations for Exponential Dispersion Models
• Tail Conditional Expectations for Elliptical Distributions

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