Search Results - subject:"conditional tail expectation"

Are quantile risk measures suitable for risk-transfer decisions?

Guerra, Manuel; Centeno, M.L. - In: Insurance: Mathematics and Economics 50 (2012) 3, pp. 446-461

Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators.

Persistent link: https://www.econbiz.de/10010572712

Second order regular variation and conditional tail expectation of multiple risks

Hua, Lei; Joe, Harry - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 537-546

multiple risks, and especially for sub-extremal risks. In this paper, we conduct asymptotic analysis on conditional tail … expectation (CTE) under the condition of second order regular variation (2RV). First, the closed-form second order approximation …

Persistent link: https://www.econbiz.de/10011046655

Asymptotics for risk capital allocations based on Conditional Tail Expectation

Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 310-324

An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation …

Persistent link: https://www.econbiz.de/10010572717