On Multivariate Extensions of Conditional-Tail-Expectation

In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-Expectation (CTE) in a multivariate setting. Contrary to allocation measures or systemic risk measures, these measures are also suitable for multivariate risk problems where risks are heterogenous in nature and cannot be aggregated together.

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Year of publication:	2013-10-28
Authors:	Cousin, Areski ; Bernardinoy, Elena Di
Institutions:	HAL
Subject:	Multivariate risk measures \| Level sets of distribution functions \| Multivariate probability integral transformation \| Stochastic orders \| Copulas and dependence

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00877386
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010701846