Estimating the Conditional Tail Expectation in the Case of Heavy-Tailed Losses
The conditional tail expectation (CTE) is an important actuarial risk measure and a useful tool in financial risk assessment. Under the classical assumption that the second moment of the loss variable is finite, the asymptotic normality of the nonparametric CTE estimator has already been established...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2010-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2010/596839 |