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of 49
pro vyhledávání: '"Zuo, Baishuai"'
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
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
Publikováno v:
Mathematical & Computer Modelling of Dynamical Systems. Dec2024, Vol. 30 Issue 1, p444-476. 33p.
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:
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
Autor:
Zuo, Baishuai, Yin, Chuancun
In this paper, the multivariate tail covariance (MTCov) for generalized skew-elliptical distributions is considered. Some special cases for this distribution, such as generalized skew-normal, generalized skew student-t, generalized skew-logistic and
Externí odkaz:
http://arxiv.org/abs/2103.05201
Autor:
Zuo, Baishuai, Yin, Chuancun
We present general results on the univariate tail conditional expectation (TCE) and multivariate tail conditional expectation for location-scale mixture of elliptical distributions. Examples include the location-scale mixture of normal distributions,
Externí odkaz:
http://arxiv.org/abs/2007.09350
Inspired by Stein's lemma, we derive two expressions for the joint moments of elliptical distributions. We use two different methods to derive $E[X_{1}^{2}f(\mathbf{X})]$ for any measurable function $f$ satisfying some regularity conditions. Then, by
Externí odkaz:
http://arxiv.org/abs/2007.09349
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