Corpus ID: 231728365

Estimating value at risk and conditional tail expectation for extreme and aggregate risks

@inproceedings{Thapa2021EstimatingVA,
  title={Estimating value at risk and conditional tail expectation for extreme and aggregate risks},
  author={S. Thapa and Y. Zhao},
  year={2021}
}
In this paper, we investigate risk measures such as value at risk (VaR) and the conditional tail expectation (CTE) of the extreme (maximum and minimum) and the aggregate (total) of two dependent risks. In finance, insurance and the other fields, when people invest their money in two or more dependent or independent markets, it is very important to know the extreme and total risk before the investment. To find these risk measures for dependent cases is quite challenging, which has not been… Expand

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