Multivariate tail conditional expectation for scale mixtures of skew-normal distribution
DOI10.1080/00949655.2019.1657864OpenAlexW2971079931WikidataQ127314962 ScholiaQ127314962MaRDI QIDQ5107515
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Publication date: 27 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2019.1657864
skew-normal distributionmultivariate risk measurestail conditional expectationscale mixtures of skew-normal distribution
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05)
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Cites Work
- Truncated skew-normal distributions: moments, estimation by weighted moments and application to climatic data
- A multivariate tail covariance measure for elliptical distributions
- Skew-elliptical distributions with applications in risk theory
- Multivariate skew-normal generalized hyperbolic distribution and its properties
- Multivariate skew-normal distributions with applications in insurance
- Multivariate tail conditional expectation for elliptical distributions
- The Skew-Normal and Related Families
- The multivariate skew-normal distribution
- Tail Conditional Expectations for Exponential Dispersion Models
- Tail Conditional Expectations for Elliptical Distributions
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