1 citations · 3 across the 10 of their papers we have counts for
10 papers
Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints
Baishuai Zuo, Chuancun Yin
In this paper, we develop the lower and upper bounds of worst-case distortion riskmetrics and weighted entropy for unimodal, and symmetric unimodal distributions when mean and vari…
Worst-cases of distortion riskmetrics and weighted entropy with partial information
Baishuai Zuo, Chuancun Yin
In this paper, we discuss the worst-case of distortion riskmetrics for general distributions when only partial information (mean and variance) is known. This result is applicable t…
An analysis of multivariate measures of skewness and kurtosis of skew-elliptical distributions
Baishuai Zuo, Narayanaswamy Balakrishnan, Chuancun Yin
This paper examines eight measures of skewness and Mardia measure of kurtosis for skew-elliptical distributions. Multivariate measures of skewness considered include Mardia, Malkov…
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…
Doubly truncated moment risk measures for elliptical distributions
Baishuai Zuo, Chuancun Yin
In this paper, we define doubly truncated moment (DTM), doubly truncated skewness (DTS) and kurtosis (DTK). We derive DTM formulae for elliptical family, with emphasis on normal, s…
Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures
Baishuai Zuo, Chuancun Yin
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…
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…
Multivariate tail covariance for generalized skew-elliptical distributions
Baishuai Zuo, Chuancun Yin
In this paper, the multivariate tail covariance (MTCov) for generalized skew-elliptical distributions is considered. Some special cases for this distribution, such as generalized s…
Explicit expressions for joint moments of -dimensional elliptical distributions
Baishuai Zuo, Chuancun Yin, Narayanaswamy Balakrishnan
Inspired by Stein's lemma, we derive two expressions for the joint moments of elliptical distributions. We use two different methods to derive for any m…
Conditional tail risk expectations for location-scale mixture of elliptical distributions
Baishuai Zuo, Chuancun Yin
We present general results on the univariate tail conditional expectation (TCE) and multivariate tail conditional expectation for location-scale mixture of elliptical distributions…