Multivariate double truncated expectation and covariance risk measures for elliptical distributions

2021/12/10 by Baishuai Zuo, Zuo, Baishuai, Chuancun Yin +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability and Risk Models #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.2112.05319

openalex publication_date 2021/12/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The main objective of this work is to calculate the multivariate double truncated expectation (MDTE) and covariance (MDTCov) for elliptical distributions. We also consider double truncated expectation (DTE) and variance (DTV) for univariate elliptical distributions. The exact expressions of MDTE and MDTCov are derived for some special cases of the family, such as normal, student-t, logistic, Laplace and Pearson type VII distributions. As numerical illustration, the DTE, DTV, MDTE and MDTCov for normal distribution are computed in details. Finally, we discuss MDTE and MDTCov of three industry segments' (Banks, Insurance, Financial and Credit Service) stock return in London stock exchange.

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