首页|Multivariate tail covariance risk measure for generalized skew-elliptical distributions

Multivariate tail covariance risk measure for generalized skew-elliptical distributions

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  • NSTL
  • Elsevier
In this paper, the multivariate tail covariance (MTCov) for generalized skew-elliptical distributions is considered. Some special cases for this distribution, such as generalized skew-normal, generalized skew student -t, generalized skew-logistic and generalized skew-Laplace distributions, are also considered. In order to test the theoretical feasibility of our results, the MTCov for skewed and non skewed normal distributions is computed and compared. Finally, we give a special formula of the MTCov for generalized skew-elliptical distributions. (c) 2022 Elsevier B.V. All rights reserved.

Generalized skew-elliptical distributionGeneralized skew-logisticMultivariate risk measuresMultivariate tail covarianceTail varianceGeneralized skew student-tCONDITIONAL-EXPECTATION

Zuo, Baishuai、Yin, Chuancun

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Qufu Normal Univ

2022

10.1016/j.cam.2022.114210

Journal of Computational and Applied Mathematics

Journal of Computational and Applied Mathematics

EISCI
ISSN：0377-0427
年,卷(期)：2022.410
  • 20