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arXiv · 2007.09350

Conditional tail risk expectations for location-scale mixture of elliptical distributions

Baishuai Zuo·Chuancun Yin
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Abstract

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, location-scale mixture of Student-$t$ distributions, location-scale mixture of Logistic distributions and location-scale mixture of Laplace distributions. We also consider portfolio risk decomposition with TCE for location-scale mixture of elliptical distributions.

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Baishuai Zuo, Chuancun Yin. 2020-07-18. Conditional tail risk expectations for location-scale mixture of elliptical distributions. https://arxiv.org/abs/2007.09350

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