论文标题
椭圆分布的双重截断矩风险措施
Doubly truncated moment risk measures for elliptical distributions
论文作者
论文摘要
在本文中，我们定义了双重截断的力矩（DTM），双截断的偏度（DTS）和峰度（DTK）。我们为椭圆家庭提供了DTM公式，重点是正常，学生$ t $，logistic，laplace和Pearson型VII分布。我们还提供了DTE的明确公式（双重截断的期望），DTV（双重截断差异），DTS和DTK用于这些分布。例如，讨论了伦敦证券交易所的三个行业（银行，保险，金融和信贷服务）的DTE，DTV，DTV，DTSS和DTKS（银行，保险，财务和信贷服务）的回报。
In this paper, we define doubly truncated moment (DTM), doubly truncated skewness (DTS) and kurtosis (DTK). We derive DTM formulae for elliptical family, with emphasis on normal, student-$t$, 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.
