The Iterated Cte

DOI10.1080/10920277.2004.10596171MaRDI QIDQ5715997zbMATH OpenOpenAlexFDO

Authors Julia Lynn Wirch, Mary R. Hardy

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2004.10596171

Mathematics Subject Classification ID

Recommendations

• Second-order expansions of the risk concentration based on CTE
• A DYNAMIC COMPETING RISKS MODEL
• On dynamic measure of risk
• A dynamic extension of the Foster-Hart measure of riskiness
• Risk tomography
• Estimation of dynamics of risk factors by the dynamic regression method
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• A new measure of attributable risk and its stratification

Cites work

• A synthesis of risk measures for capital adequacy
• Coherent measures of risk
• Dynamic coherent risk measures
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• Investment guarantees: Modeling and risk management for equity-linked life insurance

Cited in

(17)

• Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
• Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
• Peril, prudence and planning as risk, avoidance and worry
• Solvency requirement for long term guarantee: risk measure versus probability of ruin
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• Markov decision processes with iterated coherent risk measures
• Tight approximations of dynamic risk measures
• Solvency analysis of defined benefit pension schemes
• Iterated VaR or CTE measures: a false good idea?
• Interval estimation of actuarial risk measures
• Cash flow matching: a risk management approach
• Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Asymptotic analysis of the loss given default in the presence of multivariate regular variation
• Estimating the conditional tail expectation in the case of heavy-tailed losses
• The capital-on-capital cost in Solvency II risk margin
• Estimating conditional tail expectation with actuarial applications in view

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