Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures

Baishuai Zuo and Chuancun Yin

Papers from arXiv.org

Abstract: In this paper, we focus on multivariate doubly truncated first two moments of generalized skew-elliptical (GSE) distributions and derive explicit expressions for them. It includes many useful distributions, for examples, generalized skew-normal (GSN), generalized skew-Laplace (GSLa), generalized skew-logistic (GSLo) and generalized skew student-$t$ (GSSt) distributions, all as special cases. We also give formulas of multivariate doubly truncated expectation and covariance for GSE distributions. As applications, we show the results of multivariate tail conditional expectation (MTCE) and multivariate tail covariance (MTCov) for GSE distributions.

Date: 2022-03
New Economics Papers: this item is included in nep-ecm and nep-rmg
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