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TAIL CONDITIONAL EXPECTATIONS FOR GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS

Published online by Cambridge University Press:  05 January 2021

Baishuai Zuo Open the ORCID record for Baishuai Zuo [Opens in a new window]  and
Chuancun Yin
Baishuai Zuo
Affiliation:
School of Statistics, Qufu Normal University, Qufu, Shandong273165, P. R. China E-mail: [email protected]
Chuancun Yin
Affiliation:
School of Statistics, Qufu Normal University, Qufu, Shandong273165, P. R. China E-mail: [email protected]
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Abstract

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.

Keywords

generalized skew-elliptical distributionsgeneralized skew-Laplacegeneralized skew-logisticgeneralized skew Student-tmultivariate risk measurestail conditional expectations
Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 36 , Issue 2 , April 2022 , pp. 500 - 513
Copyright
Copyright © The Author(s), 2020. Published by Cambridge University Press

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