کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077208 1374122 2011 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotics for risk capital allocations based on Conditional Tail Expectation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Asymptotics for risk capital allocations based on Conditional Tail Expectation
چکیده انگلیسی

An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-at-Risk (VaR) risk measure. The existing methodology acquired for VaR can therefore be applied to a somewhat less well-studied CTE. In the context of interest, the EVT approach is seemingly well-motivated by modern regulations, which openly strive for the excessive prudence in determining risk capitals.

► We study capital allocations based on the Conditional Tail Expectation risk measure. ► We propose to tackle the problem at high confidence levels. ► Extreme value theory and vague convergence are employed. ► Both asymptotic dependence and asymptotic independence are considered. ► Capital allocations are shown to be asymptotically proportional to the corresponding Value-at-Risk risk measure.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 49, Issue 3, November 2011, Pages 310-324
نویسندگان
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