Browsing Statistics and Actuarial Science by Author "Kim, Hyun Tae"
Now showing items 1-1 of 1
-
Estimation and allocation of insurance risk capital
Kim, Hyun Tae (University of Waterloo, 2007-05-15)Estimating tail risk measures such as Value at Risk (VaR) and Conditional Tail Expectation (CTE) is a vital component in financial and actuarial risk management. The CTE is a preferred risk measure, due to coherence and ...