Doubly truncated moment risk measures for elliptical distributions
Statistics Theory
2022-03-03 v1 Risk Management
Statistics Theory
Abstract
In this paper, we define doubly truncated moment (DTM), doubly truncated skewness (DTS) and kurtosis (DTK). We derive DTM formulae for elliptical family, with emphasis on normal, student-, logistic, Laplace and Pearson type VII distributions. We also present explicit formulas of the DTE (doubly truncated expectation), DTV (doubly truncated variance), DTS and DTK for those distributions. As illustrative example, DTEs, DTVs, DTSs and DTKs of three industry segments' (Banks, Insurance, Financial and Credit Service) stock return in London stock exchange are discussed.
Keywords
Cite
@article{arxiv.2203.01091,
title = {Doubly truncated moment risk measures for elliptical distributions},
author = {Baishuai Zuo and Chuancun Yin},
journal= {arXiv preprint arXiv:2203.01091},
year = {2022}
}