In this paper, we consider a random vector X= (X1, X2) 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¯ ∈ R2. Such a conditional expectation has an intuitive interpretation in the context of risk measures.
The Skew Normal multivariate risk measurement framework
Bernardi M.
Membro del Collaboration Group
;
2020
Abstract
In this paper, we consider a random vector X= (X1, X2) 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¯ ∈ R2. Such a conditional expectation has an intuitive interpretation in the context of risk measures.
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