In this paper, we consider a random vector X= (X1, X2) following a multivariate Skew Normal distribution and we provide an explicit formula for the expected value of X conditioned to the event X≤ X¯ , with X¯ ∈ R2. Such a conditional expectation has an intuitive interpretation in the context of risk measures
It is widely recognized that financial stock returns do not always follow the normal distribution. T...
In this paper, we illustrate the use of the Conditional Tail Expectation (CTE) risk measure on a set...
We present the results of an application of Bayesian inference in testing the relation between risk ...
In this paper, we consider a random vector X= (X1, X2) following a multivariate Skew Normal distribu...
In this paper, we consider a random vector X = (X 1 , X 2 ) following a multivariate Skew Normal dis...
In this paper, we define a new class of multivariate skew-normal distributions. Its properties are s...
International audienceThis paper is devoted to the introduction and study of a new family of multiva...
Abstract: The conditional tail expectation in risk analysis describes the expected amount of risk th...
The Multivariate Conditional Value-at-Risk (MCVaR) is a scalar risk measure for multivariate risks m...
In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-...
Significant changes in the insurance and financial markets are giving in-creasing attention to the n...
An introductory account of the skew-normal distribution in the univariate and in the multivariate ca...
In his paper we introduce a quantile-based risk measure for multivariate financial positions: the ve...
We present the results of an application of Bayesian inference in testing the relation between risk ...
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. I...
It is widely recognized that financial stock returns do not always follow the normal distribution. T...
In this paper, we illustrate the use of the Conditional Tail Expectation (CTE) risk measure on a set...
We present the results of an application of Bayesian inference in testing the relation between risk ...
In this paper, we consider a random vector X= (X1, X2) following a multivariate Skew Normal distribu...
In this paper, we consider a random vector X = (X 1 , X 2 ) following a multivariate Skew Normal dis...
In this paper, we define a new class of multivariate skew-normal distributions. Its properties are s...
International audienceThis paper is devoted to the introduction and study of a new family of multiva...
Abstract: The conditional tail expectation in risk analysis describes the expected amount of risk th...
The Multivariate Conditional Value-at-Risk (MCVaR) is a scalar risk measure for multivariate risks m...
In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-...
Significant changes in the insurance and financial markets are giving in-creasing attention to the n...
An introductory account of the skew-normal distribution in the univariate and in the multivariate ca...
In his paper we introduce a quantile-based risk measure for multivariate financial positions: the ve...
We present the results of an application of Bayesian inference in testing the relation between risk ...
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. I...
It is widely recognized that financial stock returns do not always follow the normal distribution. T...
In this paper, we illustrate the use of the Conditional Tail Expectation (CTE) risk measure on a set...
We present the results of an application of Bayesian inference in testing the relation between risk ...
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