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Tail Conditional Expectation for Multivariate Pareto Portfolio: TCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution - Softcover
Synopsis
Determination of risk capital is a subject of active interest to researchers, regulators of financial institutes and commercial vendors of financial products and services. Recently, there has been growing concentration among the insurance companies and regulators on the use of tail conditional expectation (TCE) as measure of risk. TCE represents the conditional average amount of loss that can be incurred in a particular period, given that the loss exceeds a specified value. This value is usually based on a quantile of the distribution, the so-called value-at-risk (VaR). The present study examines the TCE in the case of multivariate Pareto distribution. We show that the divided differences, actually important in the numerical analysis and polynomial?s approximations, are quite convenient tool on the capital asset allocation problem in the multivariate dependent Pareto context.
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About the Author
Arthur Chiragiev, MA, Senior Risk Analyst, PhD student at the Department of Statistics, University of Haifa, Mount Carmel, Haifa, Israel. Email: artzur@gmail.com. Zinoviy Landsman, PhD, Professor at the Department of Statistics, Senior Reseacher at the Actuarial Research Center, University of Haifa. Email: landsman@stat.haifa.ac.il
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Tail Conditional Expectation for Multivariate Pareto Portfolio
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LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10: 383831557X
ISBN 13: 9783838315577
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Determination of risk capital is a subject of active interest to researchers, regulators of financial institutes and commercial vendors of financial products and services. Recently, there has been growing concentration among the insurance companies and regulators on the use of tail conditional expectation (TCE) as measure of risk. TCE represents the conditional average amount of loss that can be incurred in a particular period, given that the loss exceeds a specified value. This value is usually based on a quantile of the distribution, the so-called value-at-risk (VaR). The present study examines the TCE in the case of multivariate Pareto distribution. We show that the divided differences, actually important in the numerical analysis and polynomial s approximations, are quite convenient tool on the capital asset allocation problem in the multivariate dependent Pareto context. 88 pp. Englisch. Seller Inventory # 9783838315577
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Tail Conditional Expectation for Multivariate Pareto Portfolio
Published by
LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10: 383831557X
ISBN 13: 9783838315577
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Taschenbuch
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Determination of risk capital is a subject of active interest to researchers, regulators of financial institutes and commercial vendors of financial products and services. Recently, there has been growing concentration among the insurance companies and regulators on the use of tail conditional expectation (TCE) as measure of risk. TCE represents the conditional average amount of loss that can be incurred in a particular period, given that the loss exceeds a specified value. This value is usually based on a quantile of the distribution, the so-called value-at-risk (VaR). The present study examines the TCE in the case of multivariate Pareto distribution. We show that the divided differences, actually important in the numerical analysis and polynomial's approximations, are quite convenient tool on the capital asset allocation problem in the multivariate dependent Pareto context.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 88 pp. Englisch. Seller Inventory # 9783838315577
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Tail Conditional Expectation for Multivariate Pareto Portfolio : TCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution
Published by
LAP LAMBERT Academic Publishing, 2009
ISBN 10: 383831557X
ISBN 13: 9783838315577
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Determination of risk capital is a subject of active interest to researchers, regulators of financial institutes and commercial vendors of financial products and services. Recently, there has been growing concentration among the insurance companies and regulators on the use of tail conditional expectation (TCE) as measure of risk. TCE represents the conditional average amount of loss that can be incurred in a particular period, given that the loss exceeds a specified value. This value is usually based on a quantile of the distribution, the so-called value-at-risk (VaR). The present study examines the TCE in the case of multivariate Pareto distribution. We show that the divided differences, actually important in the numerical analysis and polynomial s approximations, are quite convenient tool on the capital asset allocation problem in the multivariate dependent Pareto context. Seller Inventory # 9783838315577
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Tail Conditional Expectation for Multivariate Pareto Portfolio | TCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution
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LAP LAMBERT Academic Publishing, 2010
ISBN 10: 383831557X
ISBN 13: 9783838315577
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Taschenbuch. Condition: Neu. Tail Conditional Expectation for Multivariate Pareto Portfolio | TCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution | Arthur Chiragiev (u. a.) | Taschenbuch | 88 S. | Englisch | 2010 | LAP LAMBERT Academic Publishing | EAN 9783838315577 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Seller Inventory # 101468615
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