Tail risk measures with application for mixtures of elliptical distributions

被引：0
|
作者：
Li, Pingyun [1 ]
Yin, Chuancun [1 ]
机构：
[1] Qufu Normal Univ, Sch Stat & Data Sci, Qufu 273165, Shandong, Peoples R China
来源：
AIMS MATHEMATICS | 2022年 / 7卷 / 05期
基金：
中国国家自然科学基金;
关键词：
tail conditional expectations; tail variance; portfolio risk decomposition with TCE; location-scale mixtures; elliptical distributions; CAPITAL ALLOCATION; EXPECTATIONS; FAMILY;
D O I：
10.3934/math.2022491
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we derive explicit formulas of tail conditional expectation (TCE) and tail variance (TV) for the class of location-scale mixtures of elliptical distributions, which includes the generalized hyper-elliptical (GHE) distribution. We also develop portfolio risk decomposition with TCE for multivariate location-scale mixtures of elliptical distributions. To illustrate our findings, we focus on the generalized hyperbolic (GH) family which is a popular subclass of the GHE for stocks modelling.
引用
收藏
页码：8802 / 8821
页数：20
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