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Tail Conditional Variance for Elliptically Contoured Distributions
Company: University of New South Wales
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: March
Pages: 22
Download Count: 558
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 6-11-2006
Publisher: Administrator
Summary
The tail conditional expectation, TCE for short, provides a measure of theriskiness of the tail of a distribution and is an index that has gained popularityover the years. On the other hand, the tail conditional variance, TCV for short,is lesser known but provides a measure of the variability of the risk along thetail of its distribution. Landsman and Valdez (2003) derive explicit formulas forcomputing tail conditional expectations for elliptical distributions, a family ofsymmetric distributions which includes the more familiar Normal and Studenttdistributions. In this paper, we are able to similarly exploit the propertiesof the elliptical distributions to derive similar explicit forms in computing thetail conditional variance. In particular, the tail generator defined in the paperplays an important role in the process of developing these explicit forms. Wefurther investigate these results in the multivariate case especially when theaddition of several risks is concerned.
Author(s)
Valdez, Emiliano A. Sign in to follow this author
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