Involving copula functions in Conditional Tail Expectation
AbstractA new notion to risk measures preserving the coherence axioms, that we call Copula Conditional Tail Expectation (CCTE), is given. This risk measure describes the expected amount of risk that can be experienced given that a potential bivariate risk exceeds a bivariate threshold value, and provides an important measure for right-tail risk. Our goal is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. Finally, our risk measure is applied to the real financial data.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1205.4345.
Date of creation: May 2012
Date of revision: Mar 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-29 (All new papers)
- NEP-BAN-2012-05-29 (Banking)
- NEP-RMG-2012-05-29 (Risk Management)
- NEP-UPT-2012-05-29 (Utility Models & Prospect Theory)
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- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
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