Abstract
This paper deals with the multivariate tail conditional expectation (MTCE) for generalized skew-elliptical distributions. We present tail conditional expectation for univariate generalized skew-elliptical distributions and MTCE for generalized skew-elliptical distributions. There are many special cases for generalized skew-elliptical distributions, such as generalized skew-normal, generalized skew Student-t, generalized skew-logistic and generalized skew-Laplace distributions.
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