شماره ركورد كنفرانس :
4155
عنوان مقاله :
On the Nonparametric Estimation of Conditional Tail Expectation
پديدآورندگان :
Jomhoori Sarah sjomhoori@birjand.ac.ir University of Birjand , Akbari Mahboubeh m.akbari@umz.ac.ir University of Birjand
كليدواژه :
Asymptotic properties , Conditional tail expectation , Kernel method , Risk measure
عنوان كنفرانس :
اولين همايش ملي روشهاي مدرن در قيمت گذاري هاي بيمه اي و آمارهاي صنعتي
چكيده فارسي :
One of the most important actuarial risk measures is the conditional tail expectation (CTE) which is the average amount of loss given that the loss exceeds a specified quantile. This paper focuses on the nonparametric estimation of CTE risk measure based on kernel method. Asymptotic properties of the proposed estimator are studied. A simulation study is conducted to compare the performances of the proposed estimator with its empirical competitor.
