On Multivariate Extensions of Conditional-Tail-Expectation - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2013

On Multivariate Extensions of Conditional-Tail-Expectation

Résumé

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.
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Dates et versions

hal-00877386 , version 1 (28-10-2013)

Identifiants

  • HAL Id : hal-00877386 , version 1

Citer

Areski Cousin, Elena Di Bernardino. On Multivariate Extensions of Conditional-Tail-Expectation. 2013. ⟨hal-00877386⟩
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