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Skewed distributions in finance and actuarial science: a review

Citations

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Cited by:

  1. Abdi, Me’raj & Madadi, Mohsen & Balakrishnan, Narayanaswamy & Jamalizadeh, Ahad, 2021. "Family of mean-mixtures of multivariate normal distributions: Properties, inference and assessment of multivariate skewness," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
  2. Lin, Yuehao & Lehnert, Thorsten & Wolff, Christian, 2019. "Skewness risk premium: Theory and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 174-185.
  3. Gambacciani, Marco & Paolella, Marc S., 2017. "Robust normal mixtures for financial portfolio allocation," Econometrics and Statistics, Elsevier, vol. 3(C), pages 91-111.
  4. Dante Amengual & Xinyue Bei & Enrique Sentana, 2022. "Normal but skewed?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1295-1313, November.
  5. Potanin, Bogdan & Trifonov, Juri, 2021. "The influence of investors’ expectations on oil prices," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 76-90.
  6. Chuancun Yin & Jing Yao & Yang Yang, 2024. "Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science," Statistical Papers, Springer, vol. 65(7), pages 4715-4744, September.
  7. Ahmed Z. Afify & Ahmed M. Gemeay & Noor Akma Ibrahim, 2020. "The Heavy-Tailed Exponential Distribution: Risk Measures, Estimation, and Application to Actuarial Data," Mathematics, MDPI, vol. 8(8), pages 1-28, August.
  8. Massimiliano Giacalone & Demetrio Panarello, 2022. "A Nonparametric Approach for Testing Long Memory in Stock Returns’ Higher Moments," Mathematics, MDPI, vol. 10(5), pages 1-21, February.
  9. Rui Zhou & Daniel P. Palomar, 2020. "Solving High-Order Portfolios via Successive Convex Approximation Algorithms," Papers 2008.00863, arXiv.org.
  10. Sarra Ghaddab & Manel Kacem & Christian Peretti & Lotfi Belkacem, 2023. "Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty," Empirical Economics, Springer, vol. 65(3), pages 1105-1127, September.
  11. Eling, Martin & Loperfido, Nicola, 2017. "Data breaches: Goodness of fit, pricing, and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 126-136.
  12. Jorge M. Arevalillo & Hilario Navarro, 2019. "A stochastic ordering based on the canonical transformation of skew-normal vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 475-498, June.
  13. Iqbal Owadally & Jean-René Mwizere & Neema Kalidas & Kalyanie Murugesu & Muhammad Kashif, 2021. "Long-Term Sustainable Investment for Retirement," Sustainability, MDPI, vol. 13(9), pages 1-22, April.
  14. Jinxin Wang & Zengde Deng & Taoli Zheng & Anthony Man-Cho So, 2020. "Sparse High-Order Portfolios via Proximal DCA and SCA," Papers 2008.12953, arXiv.org, revised Jun 2021.
  15. Matteo Benuzzi & Matteo Ploner, 2024. "Skewness-seeking behavior and financial investments," Annals of Finance, Springer, vol. 20(1), pages 129-165, March.
  16. Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022. "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, vol. 46(PA).
  17. Taras Bodnar & Stepan Mazur & Nestor Parolya, 2019. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 46(2), pages 636-660, June.
  18. Nicola Loperfido & Tomer Shushi, 2023. "Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 143-166, October.
  19. Taras Bodnar & Nikolaus Hautsch & Yarema Okhrin & Nestor Parolya, 2024. "Consistent Estimation of the High-Dimensional Efficient Frontier," Papers 2409.15103, arXiv.org.
  20. Hugo E. Caceres & Ben Moews, 2024. "Evaluating utility in synthetic banking microdata applications," Papers 2410.22519, arXiv.org.
  21. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
  22. Shushi, Tomer, 2018. "A proof for the existence of multivariate singular generalized skew-elliptical density functions," Statistics & Probability Letters, Elsevier, vol. 141(C), pages 50-55.
  23. Mostafa Tamandi & Ahad Jamalizadeh & Tsung-I Lin, 2019. "Shape mixtures of skew-t-normal distributions: characterizations and estimation," Computational Statistics, Springer, vol. 34(1), pages 323-347, March.
  24. Punzo, Antonio & Bagnato, Luca & Maruotti, Antonello, 2018. "Compound unimodal distributions for insurance losses," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 95-107.
  25. Margaret R. Magwedere & Joseph Chisasa & Godfrey Marozva, 2022. "Examining the Causal Relationship between Financial Intermediation and Poverty in Selected Developing Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 12(1), pages 75-84.
  26. Palczewski, Andrzej & Palczewski, Jan, 2019. "Black–Litterman model for continuous distributions," European Journal of Operational Research, Elsevier, vol. 273(2), pages 708-720.
  27. Loperfido, Nicola, 2020. "Some remarks on Koziol’s kurtosis," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
  28. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
  29. Shi, Yue & Punzo, Antonio & Otneim, Håkon & Maruotti, Antonello, 2023. "Hidden semi-Markov models for rainfall-related insurance claims," Discussion Papers 2023/17, Norwegian School of Economics, Department of Business and Management Science.
  30. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
  31. A. Amendola & V. Candila, 2016. "Evaluation of volatility predictions in a VaR framework," Quantitative Finance, Taylor & Francis Journals, vol. 16(5), pages 695-709, May.
  32. Wan, Li & Han, Liyan & Xu, Yang & Matousek, Roman, 2021. "Dynamic linkage between the Chinese and global stock markets: A normal mixture approach," Emerging Markets Review, Elsevier, vol. 49(C).
  33. Andrew Paskaramoorthy & Tim Gebbie & Terence van Zyl, 2021. "The efficient frontiers of mean-variance portfolio rules under distribution misspecification," Papers 2106.10491, arXiv.org, revised Jul 2021.
  34. Philipp M. Möller, 2018. "Drawdown Measures And Return Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-42, November.
  35. Wei Zhao & Saima K Khosa & Zubair Ahmad & Muhammad Aslam & Ahmed Z Afify, 2020. "Type-I heavy tailed family with applications in medicine, engineering and insurance," PLOS ONE, Public Library of Science, vol. 15(8), pages 1-24, August.
  36. Hanke, Michael & Penev, Spiridon & Schief, Wolfgang & Weissensteiner, Alex, 2017. "Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness," European Journal of Operational Research, Elsevier, vol. 263(2), pages 510-523.
  37. Vanduffel, Steven & Yao, Jing, 2017. "A stein type lemma for the multivariate generalized hyperbolic distribution," European Journal of Operational Research, Elsevier, vol. 261(2), pages 606-612.
  38. Mehdi Amiri & Yaser Mehrali & Narayanaswamy Balakrishnan & Ahad Jamalizadeh, 2022. "Efficient recursive computational algorithms for multivariate t and multivariate unified skew-t distributions with applications to inference," Computational Statistics, Springer, vol. 37(1), pages 125-158, March.
  39. Nicola Loperfido, 2019. "Finite mixtures, projection pursuit and tensor rank: a triangulation," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 13(1), pages 145-173, March.
  40. Bhati, Deepesh & Ravi, Sreenivasan, 2018. "On generalized log-Moyal distribution: A new heavy tailed size distribution," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 247-259.
  41. Mehdi Amiri & Narayanaswamy Balakrishnan & Abbas Eftekharian, 2022. "Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(3), pages 679-707, September.
  42. Manuel Galea & David Cademartori & Roberto Curci & Alonso Molina, 2020. "Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution," JRFM, MDPI, vol. 13(6), pages 1-22, June.
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