Tail Conditional Expectation and Tail Variance for Extended Generalized Skew-Elliptical Distributions

This study derives explicit expressions for the Tail Conditional Expectation (TCE) and Tail Variance (TV) within the framework of the extended generalized skew-elliptical (EGSE) distribution. The EGSE family generalizes the class of elliptical distributions by incorporating a selection method, there...

ver descrição completa

Detalhes bibliográficos

Principais autores:	Pin Wang, Guojing Wang, Yang Yang, Jing Yao
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2025-09-01
coleção:	Mathematics
Assuntos:	extended generalized skew-elliptical distributions risk measure Tail Conditional Expectation tail variance
Acesso em linha:	https://www.mdpi.com/2227-7390/13/18/2972
Tags:	Adicionar Tag Sem tags, seja o primeiro a adicionar uma tag!