ORL
2010
13 years 10 months ago
2010
: We compare capital requirements derived by tail conditional expectation (TCE) with those derived by tail conditional median (TCM) and find that there is no clear-cut relationship...
WSC
2007
14 years 1 months ago
2007
We develop and evaluate a two-level simulation procedure that produces a confidence interval for tail conditional expectation, otherwise known as conditional tail expectation. Th...