The Skew Normal risk measurement framework
01 Pubblicazione su rivista
Bernardi Mauro, CERQUETI Roy, PALESTINI Arsen
ISSN: 1619-697X
In this paper, we consider a random vector X = (X 1 , X 2 ) following a multivariate Skew Normal distribution and we provide an explicit formula for the expected value of X conditioned to the event X ≤ X , with X ∈ R 2 . Such a conditional expectation has an intuitive interpretation in the context of risk measures.