1 citations · 1 across the 6 of their papers we have counts for
8 papers
Absolute moments of GH distribution
Chuancun Yin
In this work, we focus on deriving the absolute moments of the general ized hyperbolic (GH) distribution via its mean-variance mixture structure. Conditioning on the GIG mixing var…
Quantifying Dependence Between Random Vectors: A New Index with Applications
Chuancun yin
This article proposes a new index for quantifying the degree of dependence between random vectors. The index takes values in [0,1] and equals zero if and only if the random vectors…
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…
Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information
Mengshuo Zhao, Chuancun Yin
This paper derives the best- and worst-case GlueVaR distortion risk measure within a unified framework, based on partial information of the underlying distributions and shape infor…
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…
Extremal cases of distortion risk measures with partial information
Mengshuo Zhao, Narayanaswamy Balakrishnan, Chuancun Yin +1
This paper investigates the impact of distributional uncertainty on key risk measures under the partial knowledge of underlying distributions characterized by their first two momen…
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…
Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions
Chuancun Yin, Narayanaswamy Balakrishnan
The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For thi…