TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS

被引：4

作者：

Zuo, Baishuai ^{[1
]}

Yin, Chuancun ^{[1
]}

机构：

[1] Qufu Normal Univ, Sch Stat, Qufu 273165, Shandong, Peoples R China

来源：

PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2022年 / 36卷 / 02期

基金：

中国国家自然科学基金;

关键词：

generalized skew-elliptical distributions; generalized skew-Laplace; generalized skew-logistic; generalized skew Student-t; multivariate risk measures; tail conditional expectations; FAMILY;

D O I：

10.1017/S0269964820000674

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper deals with the multivariate tail conditional expectation (MTCE) for generalized skew-elliptical distributions. We present tail conditional expectation for univariate generalized skew-elliptical distributions and MTCE for generalized skew-elliptical distributions. There are many special cases for generalized skew-elliptical distributions, such as generalized skew-normal, generalized skew Student-t, generalized skew-logistic and generalized skew-Laplace distributions.

引用

页码：500 / 513

页数：14

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