Tail risks of portfolios measured by the lower partial moment ( LPM) can be decomposed into idiosyncratic tail risk，systematic tail risk and hybrid tail risk． This paper studies the pricing functions of the three types of tail risks on the expected return of assets． The evidences from China A-share market show that: 1) idiosyncratic tail risk has a significantly negative correlation with the expected return of cross-sectional assets．2) There is a significantly positive correlation between hybrid tail risk and the expected returns of assets．Hence，hybrid tail risk has a strong positive pricing power which is stronger than the market beta and downside beta． 3) Systemic tail risk has the weakest impact on the expected return of assets． 4) The portfolio returns difference series based on the idiosyncratic tail risk and hybrid tail risk are tested by the four-factor model，and the time series regression shows significant four-factor alphas for both tail risks． This shows that the relationship between idiosyncratic and hybrid tail risk and the expected returns of assets cannot be explained by the four-factor model．