1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.ST2023★ 1 cited
Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
Baishuai Zuo, Chuancun Yin, Jing Yao
In this paper, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in…
math.ST2021
Multivariate double truncated expectation and covariance risk measures for elliptical distributions
Baishuai Zuo, Chuancun Yin
The main objective of this work is to calculate the multivariate double truncated expectation (MDTE) and covariance (MDTCov) for elliptical distributions. We also consider double t…