The Skew Normal multivariate risk measurement framework

Roy Cerqueti

doi:10.1007/s10287-019-00350-8

The Skew Normal multivariate risk measurement framework

Roy Cerqueti

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

In this paper, we consider a random vector X=(X1,X2) 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¯¯¯¯∈R2. Such a conditional expectation has an intuitive interpretation in the context of risk measures. This is a post-peer-review, pre-copyedit version of an article published in Computational Management Science . The final authenticated version is available online at: http://dx.doi.org/10.1007/s10287-019-00350-8

Original language	English
Pages (from-to)	105-119
Journal	Computational Management Science
DOIs	https://doi.org/10.1007/s10287-019-00350-8
Publication status	Published - Jan 2020
Externally published	Yes

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title = "The Skew Normal multivariate risk measurement framework",

abstract = "In this paper, we consider a random vector X=(X1,X2) 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¯¯¯¯∈R2. Such a conditional expectation has an intuitive interpretation in the context of risk measures. This is a post-peer-review, pre-copyedit version of an article published in Computational Management Science . The final authenticated version is available online at: http://dx.doi.org/10.1007/s10287-019-00350-8",

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N2 - In this paper, we consider a random vector X=(X1,X2) 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¯¯¯¯∈R2. Such a conditional expectation has an intuitive interpretation in the context of risk measures. This is a post-peer-review, pre-copyedit version of an article published in Computational Management Science . The final authenticated version is available online at: http://dx.doi.org/10.1007/s10287-019-00350-8

AB - In this paper, we consider a random vector X=(X1,X2) 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¯¯¯¯∈R2. Such a conditional expectation has an intuitive interpretation in the context of risk measures. This is a post-peer-review, pre-copyedit version of an article published in Computational Management Science . The final authenticated version is available online at: http://dx.doi.org/10.1007/s10287-019-00350-8

U2 - 10.1007/s10287-019-00350-8

DO - 10.1007/s10287-019-00350-8

M3 - Article

SN - 1619-697X

SP - 105

EP - 119

JO - Computational Management Science

JF - Computational Management Science

ER -

The Skew Normal multivariate risk measurement framework

Abstract

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