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Tail Conditional Expectation for Multivariate Pareto Portfolio

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description
 

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.

Product Specifications
SKU :COC48333
AuthorArthur Chiragiev and Zinoviy Landsman
LanguageEnglish
BindingPaperback
Number of Pages88
Publishing Year2010-05-22T00:00:00.000
ISBN978-3838315577
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-04-08 00:00:00
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