1 citations · 1 across the 5 of their papers we have counts for
5 papers
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 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…