Tail value at risk

Known as: TCE, Tvar, Tailvar 
Tail value at risk (TVaR), also known as tail conditional expectation (TCE) or conditional tail expectation (CTE), is a risk measure associated with… (More)
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Topic mentions per year

Topic mentions per year

1975-2018
05010015019752018

Papers overview

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2013
2013
In this paper we analyse nonparametric methods to estimate risk measures in loss distributions. We study kernel estimation for… (More)
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2011
2011
This article provides efficient methods based on the saddlepoint approximation for computing the value at risk and the tail value… (More)
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Highly Cited
2010
Highly Cited
2010
This paper proposes a new method for identification of time-varying autoregressive (TVAR) models based on local polynomial… (More)
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2010
2010
We present an algorithm that determines Sequential Tail Value at Risk (STVaR) for path-independent payoffs in a binomial tree… (More)
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Highly Cited
2007
Highly Cited
2007
Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other… (More)
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2007
2007
In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance… (More)
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2007
2007
Regulatory authorities demand insurance companies to control the risks by imposing stringent risk management policies. This… (More)
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2005
2005
An acceptability measure is a number that summarizes information on monetary outcomes of a given position in various scenarios… (More)
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Highly Cited
2003
Highly Cited
2003
Non-expert users have to accomplish non-trivial tasks in application and device-rich computing environments. The increasing… (More)
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Highly Cited
2002
Highly Cited
2002
This paper applies time-varying autoregressive (TVAR) models with stochastically evolving parameters to the problem of speech… (More)
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