Conditional tail risk expectations for location-scale mixture of elliptical distributions

Baishuai Zuo and Chuancun Yin

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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-$t$ 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.

Date: 2020-07
New Economics Papers: this item is included in nep-rmg
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