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On Multivariate Extensions of Conditional-Tail-Expectation

Author

Listed:
  • Areski Cousin

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Elena Di Bernardino

    (CEDRIC - Centre d'études et de recherche en informatique et communications - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - CNAM - Conservatoire National des Arts et Métiers [CNAM])

Abstract

In 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.

Suggested Citation

  • Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
    • Handle: RePEc:hal:wpaper:hal-00877386
    Note: View the original document on HAL open archive server: https://hal.science/hal-00877386
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    References listed on IDEAS

    as
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