On Tail Conditional Variance and Tail Covariances

Topics:
Insurance
Tags:
Management,
Risk,
Security,
Strategy,
University Of New South Wales,
Variance
Source:
University of New South Wales

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Overview: This paper examines the tail conditional variance of a risk X defined to be the variability of the risk along its right tail and tail covariance of two risks X1 and X2 defined to explain the linear dependency of the risks along their right tails, and study their potential use as risk measures. The paper explores properties of these indices as well as discuss their potential applications in measuring risks particularly for insurance losses where right-tail risks are given prime attention.

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Format: PDF | Size: 344KB | Date: Mar 2004 | Pages: 29

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