论文标题
多元截断的时刻，用于广义偏斜分布，并应用于多元尾部有条件风险度量
Multivariate doubly truncated moments for generalized skew-elliptical distributions with application to multivariate tail conditional risk measures
论文作者
论文摘要
在本文中，我们专注于多元截断的多元截断的通用偏斜（GSE）分布的前两个时刻，并为它们提供了显式表达式。 它包括许多有用的分布，例如，广义偏斜 - 正常（GSN），广义偏斜 - 宽带（GSLA），广义偏斜逻辑（GSLO）和广义偏斜的学生-y $ t $（GSST）分布，都是特殊情况。我们还提供了多元双重截断的期望和协方差的公式。作为应用，我们显示了用于GSE分布的多元尾部条件期望（MTCE）和多元尾巴协方差（MTCOV）的结果。
In this paper, we focus on multivariate doubly truncated first two moments of generalized skew-elliptical (GSE) distributions and derive explicit expressions for them. It includes many useful distributions, for examples, generalized skew-normal (GSN), generalized skew-Laplace (GSLa), generalized skew-logistic (GSLo) and generalized skew student-$t$ (GSSt) distributions, all as special cases. We also give formulas of multivariate doubly truncated expectation and covariance for GSE distributions. As applications, we show the results of multivariate tail conditional expectation (MTCE) and multivariate tail covariance (MTCov) for GSE distributions.
