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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.ST2023
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…