In this paper, we consider a random vector X = (X 1 , X 2 ) following a multivariate Skew Normal distribution and we provide an explicit formula for the expected value of X conditioned to the event X ≤ X , with X ∈ R 2 . Such a conditional expectation has an intuitive interpretation in the context of risk measures.

The Skew Normal risk measurement framework / Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen. - In: COMPUTATIONAL MANAGEMENT SCIENCE. - ISSN 1619-697X. - 17:(2020), pp. 105-119. [10.1007/s10287-019-00350-8]

The Skew Normal risk measurement framework

Roy Cerqueti
Secondo
Membro del Collaboration Group
;
Arsen Palestini
Ultimo
Membro del Collaboration Group
2020

Abstract

In this paper, we consider a random vector X = (X 1 , X 2 ) following a multivariate Skew Normal distribution and we provide an explicit formula for the expected value of X conditioned to the event X ≤ X , with X ∈ R 2 . Such a conditional expectation has an intuitive interpretation in the context of risk measures.
2020
Conditional risk measures; Skew Normal distribution; Value-at-risk; Expected shortfall
01 Pubblicazione su rivista::01a Articolo in rivista
The Skew Normal risk measurement framework / Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen. - In: COMPUTATIONAL MANAGEMENT SCIENCE. - ISSN 1619-697X. - 17:(2020), pp. 105-119. [10.1007/s10287-019-00350-8]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1359917
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