Risk measures for skew normal mixtures

Mauro Bernardi

Statistics & Probability Letters, 2013, vol. 83, issue 8, 1819-1824

Abstract: In this paper we show that linear combinations of multivariate skew normal mixtures can be represented as finite mixtures of univariate skew normals. Based on this result we provide an analytical formula for some well known risk measures.

Keywords: Finite mixtures; Skew normal distributions; Risk measures; Value-at-Risk; Expected shortfall (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (10)

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Working Paper: Risk measures for Skew Normal mixtures (2012)
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DOI: 10.1016/j.spl.2013.04.016

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