{"product_id":"tail-conditional-expectation-for-multivariate-pareto-portfolio-von-arthur-chiragiev-und-zinoviy-landsman","title":"Tail Conditional Expectation for Multivariate Pareto Portfolio","description":"\u003cp\u003eDetermination 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.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838315577\"\u003e\u003ch3\u003eTCE-Based Capital Allocation in the Case of Multivariate Pareto Distribution\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838315577","offer_id":39469256769629,"sku":"9783838315577","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/e8d91860-6b14-467a-9ac5-9024212a6570.jpg?v=1759036966","url":"https:\/\/shop.autorenwelt.de\/products\/tail-conditional-expectation-for-multivariate-pareto-portfolio-von-arthur-chiragiev-und-zinoviy-landsman","provider":"Autorenwelt Shop","version":"1.0","type":"link"}