Search Results - subject:"tail conditional expectation"

Expected shortfall and tail conditional expectation with the Pearson type IV distribution

Stavroyiannis, Stavros - In: Global business & economics review 18 (2016) 1, pp. 41-53

Persistent link: https://www.econbiz.de/10011738550

Multivariate tail conditional expectation for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 70 (2016), pp. 216-223

Persistent link: https://www.econbiz.de/10011597276

Tail conditional moments for elliptical and log-elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 71 (2016), pp. 179-188

Persistent link: https://www.econbiz.de/10011630646

Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 65 (2015), pp. 172-186

Persistent link: https://www.econbiz.de/10011428649

Linear-time accurate lattice algorithms for tail conditional expectation

Chen, Bryant; Hsu, William W.Y.; Ho, Jan-Ming; Kao, … - In: Algorithmic Finance 3 (2014) 1-2, pp. 87-140

This paper proposes novel lattice algorithms to compute tail conditional expectation of European calls and puts in …

Persistent link: https://www.econbiz.de/10010840417

Tail Conditional Expectation for vector-valued Risks

Bentahar, Imen - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

In his paper we introduce a quantile-based risk measure for multivariate financial positions "the vector-valued Tail-conditional-expectation … extension of the "classical" real-valued tail-conditional-expectation. Our main result states that for continuous distributions … SFB 649 Discussion Paper 2006-029 Tail Conditional Expectation for vector-valued Risks …

Persistent link: https://www.econbiz.de/10005677892

A characterization of optimal portfolios under the tail mean–variance criterion

Owadally, Iqbal; Landsman, Zinoviy - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 213-221

The tail mean–variance model was recently introduced for use in risk management and portfolio choice; it involves a criterion that focuses on the risk of rare but large losses, which is particularly important when losses have heavy-tailed distributions. If returns or losses follow a multivariate...

Persistent link: https://www.econbiz.de/10010662446

Tail distortion risk and its asymptotic analysis

Zhu, Li; Li, Haijun - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 115-121

A distortion risk measure used in finance and insurance is defined as the expected value of potential loss under a scenario probability measure. In this paper, the tail distortion risk measure is introduced to assess tail risks of excess losses modeled by the right tails of loss distributions....

Persistent link: https://www.econbiz.de/10010572716

Optimal Dynamic Trading Strategies with Risk Limits

Cuoco, Domenico; He, Hua; Isaenko, Sergei - School of Management, Yale University - 2004

extreme losses is also lower. We also consider risk limits formulated in terms of Tail Conditional Expectation (TCE), a …

Persistent link: https://www.econbiz.de/10008852928