On Multivariate Extensions of Conditional-Tail-Expectation

Areski Cousin (1) , Elena Di Bernardino (2)

1 SAF - Laboratoire de Sciences Actuarielle et Financière
2 CEDRIC - Centre d'études et de recherche en informatique et communications

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.

Mots clés: Copulas and dependence; Multivariate risk measures; Level sets of distribution functions; Multivariate probability integral transformation; Stochastic orders; Copulas and dependence.

Domaines: Probabilités [math.PR]; Gestion des risques [q-fin.RM]

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