Conditional tail risk expectations for location-scale mixture of elliptical distributions

07/18/2020

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by   Baishuai Zuo, et al.

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We present general results on the univariate tail conditional expectation (TCE) and multivariate tail conditional expectation for location-scale mixture of elliptical distributions. Examples include the location-scale mixture of normal distributions, location-scale mixture of Student-t distributions, location-scale mixture of Logistic distributions and location-scale mixture of Laplace distributions. We also consider portfolio risk decomposition with TCE for location-scale mixture of elliptical distributions.