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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…
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…
Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors
Chuancun Yin
In this work, we establish some stochastic comparison results for multivariate skew-elliptical random vectors. These multivariate stochastic comparisons involve Hessian and increas…
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…