Tail conditional moment for generalized skew-elliptical distributions.

ABSTRACT: Substantial changes in the financial markets and insurance companies have needed the development of the structure of the risk benchmark, which is the challenge addressed in this paper. We propose a theorem that expands the tail conditional moment (TCM) measure from elliptical distributions to wider classes of skew-elliptical distributions. This family of distributions is suitable for modeling asymmetric phenomena. We obtain the analytical formula for the nth TCM for skew-elliptical distributions to help well to figure out the risk behavior along the tail of loss distributions. We derive four significant results and generalize the tail conditional skewness (TCS) and the tail conditional kurtosis (TCK) measures for generalized skew-elliptical distributions, which are used to determine the sk

SUBMITTER: Eini EJ 

PROVIDER: S-EPMC9041690 | biostudies-literature | 2021

REPOSITORIES: biostudies-literature