Risk measures for skew normal mixtures
AbstractIn this paper we show that linear combinations of multivariate skew normal mixtures can be represented as finite mixtures of univariate skew normals. Based on this result we provide an analytical formula for some well known risk measures.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 83 (2013)
Issue (Month): 8 ()
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