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Tail Conditional Expectation for Multivariate Pareto Portfolio: TCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution - Couverture souple
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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Présentation de l'éditeur
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.
Biographie de l'auteur
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
Edité par
LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10 : 383831557X
ISBN 13 : 9783838315577
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783838315577
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Tail Conditional Expectation for Multivariate Pareto Portfolio
Edité par
LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10 : 383831557X
ISBN 13 : 9783838315577
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783838315577
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Tail Conditional Expectation for Multivariate Pareto Portfolio : TCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution
Edité par
LAP LAMBERT Academic Publishing, 2009
ISBN 10 : 383831557X
ISBN 13 : 9783838315577
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783838315577
Acheter neuf
EUR 49
Expédition à EUR 60,75
Expédition depuis Allemagne vers Etats-Unis
Expédition depuis Allemagne vers Etats-Unis
Quantité disponible : 1 disponible(s)