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05/16/2023
Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
In this paper, we propose the multivariate range Value-at-Risk (MRVaR) a...
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03/02/2022
Doubly truncated moment risk measures for elliptical distributions
In this paper, we define doubly truncated moment (DTM), doubly truncated...
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03/02/2022
Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures
In this paper, we focus on multivariate doubly truncated first two momen...
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12/10/2021
Multivariate double truncated expectation and covariance risk measures for elliptical distributions
The main objective of this work is to calculate the multivariate double ...
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03/09/2021
Multivariate tail covariance for generalized skew-elliptical distributions
In this paper, the multivariate tail covariance (MTCov) for generalized ...
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07/18/2020
Conditional tail risk expectations for location-scale mixture of elliptical distributions
We present general results on the univariate tail conditional expectatio...
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07/18/2020