Journal of Statistical Computation and Simulation | 2021

Tail conditional risk measures for location-scale mixture of elliptical distributions

 
 

Abstract


We present general results on the univariate tail conditional expectation (TCE) and multivariate tail conditional expectation (MTCE) for location-scale mixture of elliptical distributions. Examples...

Volume None
Pages None
DOI 10.1080/00949655.2021.1944142
Language English
Journal Journal of Statistical Computation and Simulation

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