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On Multivariate Extensions of Conditional-Tail-Expectation

Areski Cousin () and Elena Di Bernardino
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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] - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université

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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.

Keywords: Copulas and dependence; Multivariate risk measures; Level sets of distribution functions; Multivariate probability integral transformation; Stochastic orders; Copulas and dependence. (search for similar items in EconPapers)
Date: 2013-10-28
New Economics Papers: this item is included in nep-ecm and nep-rmg
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