I have been comparing tails of various distributions for an application where we will need the conditional expectation of the tail or a truncated tail:
$E(X | a<X \leq b )= \frac{\int_a^b x f(x) dx}{F(b) - F(a)}$
There is some limited information out there on the web [such as http://en.wikipedia.org/wiki/Truncated_normal_distribution ], and I am capable of carrying out the integrals with difficulty, but ideally I would like to see worked-out formulas and approximations for the major continuous distributions. Is there a good reference work I am missing?
