| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152863 | Statistics & Probability Letters | 2013 | 6 Pages |
Abstract
In this paper we show that linear combinations of multivariate skew normal mixtures can be represented as finite mixtures of univariate skew normals. Based on this result we provide an analytical formula for some well known risk measures.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mauro Bernardi,