Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this paper we study two estimators for the tail dependence function, which are based on extreme value the...

1PhD Student, Department of Biostatistics, Faculty of Medical Sciences, Tarbiat Modares University, IR Iran 2Professor, Department of Biostatistics, Faculty of Medical Sciences, Tarbiat Modares University, IR Iran 3Assistant Professor, Department of Epidemiology and Biostatistics, School of Public health, Isfahan University of Medical Sciences, IR Iran 4Associate Professor, Anaesthetics, Chroni...

‎The goal of this study is to introduce an Asymmetric Uniform-Laplace (AUL) distribution‎. ‎We present a detailed theoretical description of this distribution‎. ‎We try to estimate the parameters of AUL distribution using the maximum likelihood method‎. ‎Since the likelihood approach results in complicated forms‎, ‎we suggest a bootstrap-based approach for es...

Main academic criticism on the Sharpe ratio concerns its lack in incorporating skewness in performance evaluation. In this note we rewrite the classical Sharpe ratio for skew normal distributions. This new skew-normal Shape ratio consistently moves with skewness and no distorted information on performance is provided. An empirical investigation illustrates skew-normality of mutual and hedge fun...

This paper provides a systematic and comprehensive treatment for obtaining general expressions of any order, the moments cumulants spherically elliptically symmetric multivariate distributions; results case t-distribution related skew-t distribution are discussed in some detail.

Significant changes in the insurance and financial markets are giving increasing attention to the need for developing a standard framework for risk measurement. Recently, there has been growing interest among insurance and investment experts to focus on the use of a tail conditional expectation because it shares properties that are considered desirable and applicable in a variety of situations....

Abstract. Let (X, Y ) be a bivariate elliptical random vector with associated random radius in the Gumbel maxdomain of attraction. In this paper we obtain a second order asymptotic expansion of the joint survival probability P{X > x, Y > y} for x, y large. Further, based on the asymptotic bounds we discuss some aspects of the statistical modelling of joint survival probabilities and the surviva...

Gaussian graphical lasso is a tool for estimating sparse graphs using a Gaussian log-likelihood with an 1 penalty on the inverse covariance matrix. This paper proposes a generalization to meta-elliptical distributions. Conditional uncorrelatedness is characterized in meta-elliptical families. The proposed metaelliptical and re-weighted Kendall graphical lassos are computed from pseudo-observati...