Conditional tail expectations for multivariate phase-type distributions
نویسندگان
چکیده
منابع مشابه
Conditional Tail Expectations for Multivariate Phase Type Distributions
The conditional tail expectation in risk analysis describes the expected amount of risk that can be experienced given that a potential risk exceeds a threshold value, and provides an important measure for right-tail risk. In this paper, we study the convolution and extreme values of dependent risks that follow a multivariate phase type distribution, and derive explicit formulas of several condi...
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Tail conditional expectations refer to the expected values of random variables conditioning on some tail events and are closely related to various coherent risk measures. In the univariate case, the tail conditional expectation is asymptotically proportional to the value-at-risk, a popular risk measure. The focus of this paper is on asymptotic relations between the multivariate tail conditional...
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Significant changes in the insurance and financial markets are giving increasing attention to the need for developing a standard framework for risk measurement. Recently, there has been growing interest among insurance and investment experts to focus on the use of a tail conditional expectation because it shares properties that are considered desireable and applicable in a variety of situations...
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In this paper, we introduce two alternative extensions of the classical univariate Conditional-TailExpectation (CTE) in a multivariate setting. The two proposed multivariate CTEs are vector-valued measures with the same dimension as the underlying risk portfolio. As for the multivariate Value-at-Risk measures introduced by Cousin and Di Bernardino (2013), the lower-orthant CTE (resp. the upper-...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2005
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1127322029