Add to ORKGIn this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-Expectation (CTE) in a multivariate setting. Contrary to allocation measures or systemic risk measures, these measures are also suitable for multivariate risk problems where risks are heterogenous in nature and cannot be aggregated together
Recently, there seems to be an increasing amount of interest in the use of the tail conditional expe...
International audienceThis paper is devoted to the introduction and study of a new family of multiva...
There is a growing interest in the use of the tail conditional expectation as a measure of risk. For...
In this paper, we introduce a multivariate extension of the classical univariate Value-at-Risk (VaR)...
In his paper we introduce a quantile-based risk measure for multivariate financial positions: the ve...
Abstract: The conditional tail expectation in risk analysis describes the expected amount of risk th...
Thesis (Ph.D.), Washington State UniversityA central topic in modern financial and insurance mathema...
In this paper, we illustrate the use of the Conditional Tail Expectation (CTE) risk measure on a set...
Conditional tail expectations are often used in risk measurement and capital allocation. Con- dition...
Significant changes in the insurance and financial markets are giving in-creasing attention to the n...
Conditional tail expectations are often used in risk measurement and capital allocation. Conditional...
This paper proposes using the Shapley values in allocating the total tail conditional expectation (T...
This paper proposes using the Shapley values in allocating the total tail conditional expectation (T...
This paper deals with the problem of estimating the Multivariate version of the Conditional-Tail-Exp...
International audienceThis paper deals with the problem of estimating the Multivariate version of th...
Recently, there seems to be an increasing amount of interest in the use of the tail conditional expe...
International audienceThis paper is devoted to the introduction and study of a new family of multiva...
There is a growing interest in the use of the tail conditional expectation as a measure of risk. For...
In this paper, we introduce a multivariate extension of the classical univariate Value-at-Risk (VaR)...
In his paper we introduce a quantile-based risk measure for multivariate financial positions: the ve...
Abstract: The conditional tail expectation in risk analysis describes the expected amount of risk th...
Thesis (Ph.D.), Washington State UniversityA central topic in modern financial and insurance mathema...
In this paper, we illustrate the use of the Conditional Tail Expectation (CTE) risk measure on a set...
Conditional tail expectations are often used in risk measurement and capital allocation. Con- dition...
Significant changes in the insurance and financial markets are giving in-creasing attention to the n...
Conditional tail expectations are often used in risk measurement and capital allocation. Conditional...
This paper proposes using the Shapley values in allocating the total tail conditional expectation (T...
This paper proposes using the Shapley values in allocating the total tail conditional expectation (T...
This paper deals with the problem of estimating the Multivariate version of the Conditional-Tail-Exp...
International audienceThis paper deals with the problem of estimating the Multivariate version of th...
Recently, there seems to be an increasing amount of interest in the use of the tail conditional expe...
International audienceThis paper is devoted to the introduction and study of a new family of multiva...
There is a growing interest in the use of the tail conditional expectation as a measure of risk. For...