Conditional tail risk expectations for location-scale mixture of elliptical distributions
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Publication:6345352
DOI10.1080/00949655.2021.1944142arXiv2007.09350MaRDI QIDQ6345352FDOQ6345352
Authors: Baishuai Zuo, Chuancun Yin 
Publication date: 18 July 2020
Abstract: We present general results on the univariate tail conditional expectation (TCE) and multivariate tail conditional expectation for location-scale mixture of elliptical distributions. Examples include the location-scale mixture of normal distributions, location-scale mixture of Student- distributions, location-scale mixture of Logistic distributions and location-scale mixture of Laplace distributions. We also consider portfolio risk decomposition with TCE for location-scale mixture of elliptical distributions.
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