Advances and Applications in Statistics
Volume 26, Issue 1, Pages 25 - 39
(January 2012)
|
|
ON THE CVaR MEASURE OF SKEW-SYMMETRIC FAMILIES
Werner Hurlimann
|
Abstract: By equal mean, two skew-symmetric families with the same kernel are quite similar and the tails are often very close together. We compare the conditional value-at-risk measures of the skew-normal with the skew-normal-Laplace, respectively, the skew-normal-Cauchy. Given a sufficiently high confidence level and a small maximum absolute error, there exists a common parameter such that the difference in CVaR measure remains bounded by this error for all parameter values exceeding this common parameter. |
Keywords and phrases: conditional value-at-risk, skew-symmetric family, skew-normal, skew-normal-Laplace, skew-normal Cauchy. |
|
Number of Downloads: 364 | Number of Views: 1093 |
|