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Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses |
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| Authors: | Denuit Michel Robert Christian Y. |
| Affiliation: | 1.Institute of Statistics, Biostatistics and Actuarial Science - ISBA Louvain Institute of Data Analysis and Modeling - LIDAM UCLouvain, Louvain-la-Neuve, Belgium ;2.Laboratory in Finance and Insurance - LFA CREST - Center for Research in Economics and Statistics ENSAE, Paris, France ; |
| Abstract: | Methodology and Computing in Applied Probability - Conditional tail expectations are often used in risk measurement and capital allocation. Conditional mean risk sharing appears to be effective in... |
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