Estimating the Conditional Tail Expectation in the Case of Heavy-Tailed Losses
Joint Authors
Necir, Abdelhakim
Rassoul, Abdelaziz
Zitikis, Ricardas
Source
Journal of Probability and Statistics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-04-12
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
The conditional tail expectation (CTE) is an important actuarial risk measure and a useful tool in financial risk assessment.
Under the classical assumption that the second moment of the loss variable is finite, the asymptotic normality of the nonparametric CTE estimator has already been established in the literature.
The noted result, however, is not applicable when the loss variable follows any distribution with infinite second moment, which is a frequent situation in practice.
With a help of extreme-value methodology, in this paper, we offer a solution to the problem by suggesting a new CTE estimator, which is applicable when losses have finite means but infinite variances.
American Psychological Association (APA)
Necir, Abdelhakim& Rassoul, Abdelaziz& Zitikis, Ricardas. 2010. Estimating the Conditional Tail Expectation in the Case of Heavy-Tailed Losses. Journal of Probability and Statistics،Vol. 2010, no. 2010, pp.1-17.
https://search.emarefa.net/detail/BIM-483840
Modern Language Association (MLA)
Necir, Abdelhakim…[et al.]. Estimating the Conditional Tail Expectation in the Case of Heavy-Tailed Losses. Journal of Probability and Statistics No. 2010 (2010), pp.1-17.
https://search.emarefa.net/detail/BIM-483840
American Medical Association (AMA)
Necir, Abdelhakim& Rassoul, Abdelaziz& Zitikis, Ricardas. Estimating the Conditional Tail Expectation in the Case of Heavy-Tailed Losses. Journal of Probability and Statistics. 2010. Vol. 2010, no. 2010, pp.1-17.
https://search.emarefa.net/detail/BIM-483840
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-483840