This paper studies a subclass of the class of generalized hyperbolic distribution called
the semi-hyperbolic distribution. We obtain analytical expressions for the cumulative distribution
function and, specifically, their first and second lower partial moments. Using the received formulas,
we compute the value at risk, the expected shortfall, and the semivariance in the semi-hyperbolic
model of the financial market. The formulas depend on the values of generalized hypergeometric
functions and modified Bessel functions of the second kind. The research illustrates the possibility
of analysis of generalized hyperbolic models using the same methodology as is employed for the
well-established variance-gamma model.