Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation
By Alexandru V. Asimit, Edward Furman, Qihe Tang, Raluca Vernic. 2011
113 citations recorded by the source corpus.
An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-at-Risk (VaR) risk measure. The existing methodology acquired for VaR can therefore be applied to a somewhat less well-studied CTE. In the context of interest, the EVT approach is seemingly well-motivated by modern regulations, which openly strive for the excessive prudence in determining risk capitals.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/0fcbb1d5d454e0046a1fefce79fc54ee72a93a40
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In Finance
- Qihe Tang
- Yiqing Chen
- Dingcheng Wang
- Kai Wang Ng
- Yuebao Wang
- Kam Chuen Yuen
- Alexandru V. Asimit
- Jostein Paulsen
In Management Science and Operations Research
- Fan Yang
- Qihe Tang
- Yiqing Chen
- Dingcheng Wang
- Kai Wang Ng
- Kam Chuen Yuen
- Jostein Paulsen
- Alexandru V. Asimit
Citations in the corpus
- On the Haezendonck–Goovaerts risk measure for extreme risks (2012, background): “(2010) and Asimit et al. (2011),who studied some insurance problemsusing extreme value theory.”