Tail Conditional Expectations for Generalized Skew — Elliptical Distributions

24 Pages Posted: 26 Jul 2013

See all articles by Zinoviy Landsman

Zinoviy Landsman

University of Haifa, Department of Statistics

Udi Makov

University of Haifa - Department of Statistics

Tomer Shushi

Ben-Gurion University of the Negev - Department of Business Administration

Date Written: June 30, 2013

Abstract

Tail conditional expectation (TCE) has properties which are considered desirable and applicable in a variety of situations. (In particular, it satis…es requirements of a "coherent" risk measure in the spirit developed by Artzner et al. (1999)). Consequently, there has been growing interest among risk measures, actuaries, and investment experts in this risk measure. This paper derives formulae for computing the TCE for Generalized Skew Elliptical distributions, a family of non-symmetric distributions that includes, among many, the more familiar skew normal, skew student-t and skew laplace distributions.

Suggested Citation

Landsman, Zinoviy and Makov, Udi and Shushi, Tomer, Tail Conditional Expectations for Generalized Skew — Elliptical Distributions (June 30, 2013). Available at SSRN: https://ssrn.com/abstract=2298265 or http://dx.doi.org/10.2139/ssrn.2298265

Zinoviy Landsman

University of Haifa, Department of Statistics ( email )

Haifa, 31905
Israel
+972-4-8249003 (Phone)

HOME PAGE: http://stat.haifa.ac.il/~landsman

Udi Makov

University of Haifa - Department of Statistics ( email )

Haifa 31905
Israel

Tomer Shushi (Contact Author)

Ben-Gurion University of the Negev - Department of Business Administration ( email )

Beer-Sheva, 84105
Israel

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