Zobrazeno 1 - 10
of 300
pro vyhledávání: '"Yin, Chuancun"'
Autor:
Zuo, Baishuai, Yin, Chuancun
In this paper, we discuss the worst-case of distortion riskmetrics for general distributions when only partial information (mean and variance) is known. This result is applicable to general class of distortion risk measures and variability measures.
Externí odkaz:
http://arxiv.org/abs/2405.19075
This paper considers the best- and worst-case of a general class of distortion risk measures when only partial information regarding the underlying distributions is available. Specifically, explicit sharp lower and upper bounds for a general class of
Externí odkaz:
http://arxiv.org/abs/2404.13637
The family of multivariate skew-normal distributions has many interesting properties. It is shown here that these hold for a general class of skew-elliptical distributions. For this class, several stochastic representations are established and then t
Externí odkaz:
http://arxiv.org/abs/2309.08085
In this paper, we propose the multivariate range Value-at-Risk (MRVaR) and the multivariate range covariance (MRCov) as two risk measures and explore their desirable properties in risk management. In particular, we explain that such range-based risk
Externí odkaz:
http://arxiv.org/abs/2305.09097
Autor:
Yin, Chuancun
In this work, we establish some stochastic comparison results for multivariate skew-elliptical random vectors. These multivariate stochastic comparisons involve Hessian and increasing-Hessian orderings as well as many of their special cases. Necessar
Externí odkaz:
http://arxiv.org/abs/2304.09013
Diffusion is a commonly used technique for spreading information from point to point on a graph. The rationale behind diffusion is not clear. And the multi-types Galton-Watson forest is a random model of population growth without space or any other r
Externí odkaz:
http://arxiv.org/abs/2203.11816
Autor:
Zuo, Baishuai, Yin, Chuancun
In this paper, we define doubly truncated moment (DTM), doubly truncated skewness (DTS) and kurtosis (DTK). We derive DTM formulae for elliptical family, with emphasis on normal, student-$t$, logistic, Laplace and Pearson type VII distributions. We a
Externí odkaz:
http://arxiv.org/abs/2203.01091
Autor:
Zuo, Baishuai, Yin, Chuancun
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)
Externí odkaz:
http://arxiv.org/abs/2203.00839
Autor:
Yin, Chuancun, Dong, Hua
The purpose of the present paper is to give unified expressions to the characteristic functions of all elliptical and related distributions. Those distributions including the multivariate elliptical symmetric distributions and some asymmetric distrib
Externí odkaz:
http://arxiv.org/abs/2112.06472
Autor:
Zuo, Baishuai, Yin, Chuancun
The main objective of this work is to calculate the multivariate double truncated expectation (MDTE) and covariance (MDTCov) for elliptical distributions. We also consider double truncated expectation (DTE) and variance (DTV) for univariate elliptica
Externí odkaz:
http://arxiv.org/abs/2112.05319