Expressions for Marginal Mean Excess and Marginal Expected Shortfall Measures under Bivariate Scale Mixture of Normal Distribution - Roozegar, Roohollah; Balakrishnan, Narayanaswamy; Mardani-Fard, Heydar Ali; Desmond, Anthony F.; Jamalizadeh, Ahad (Methodology and computing in applied probability, 2025)
Keywords: Approximation; Asymptotic methods; Bivariate analysis; Business and Management; Economics; Electrical Engineering; Life insurance; Life Sciences; Mathematics; Mathematics and Statistics; Mixtures; Normal distribution; Random variables; Risk factors; Risk management; Securities markets; Statistics; 91G70; Extended skew-normal distribution; Marginal mean excess; Systemic risk; Extended skew-scale mixture of normal distribution; 62E15; Marginal expected shortfall