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.
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页码：500 / 513
页数：14
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