An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-at-Risk (VaR) risk measure. The existing methodo...

Abstract. We investigate properties of a version of tail comonotonicity that can be applied to absolutely continuous distributions, and give several methods for constructions of multivariate distributions with tail comonotonicity or strongest tail dependence. Archimedean copulas as mixtures of powers, and scale mixtures of a non-negative random vector with the mixing distribution having slowly ...

In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each risk within a portfolio. For that purpose, bivariate lower and upper orthant tail value-at-risk can b...

An acceptability measure is a number that summarizes information on monetary outcomes of a given position in various scenarios, and that, depending on context, may be interpreted as a capital requirement or as a price. In a multiperiod setting, it is reasonable to require that an acceptability measure should satisfy certain conditions of time consistency. Various notions of time consistency may...

introduction: multiple fields and presence of heterogeneities create complex dose distributions that need three dimensional dosimetry. in this work, we investigated mr-based magic gel dosimetry as a three-dimensional dosimetry technique to measure the delivered dose to bladder and rectum in prostate radiation therapy. materials and methods: a heterogeneous slab phantom including bones was made....

Consider a portfolio of n obligors such as loans, corporate bonds and other instruments subject to possible default. Tang and Yuan (2012, Submitted) introduced a new model for the loss given default and studied its tail behavior, Value at Risk, and Conditional Tail Expectation under the assumption that the losses jointly follow a multivariate regularly varying distribution. However, in the case...

Background: Craniospinal radiotherapy faces technical challenges which are due to the sensitivity of the location in which the gross tumor is, and to organs at risk around planning target volume. Using modern treatment planning systems causes a reduction in the complexities of the treatment techniques. The most effective method to assess the dosimetric accuracy and the validity of the ...

Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios. Yet, existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular, VaR limits have been found to induce increased risk exposure in some states and an increased probability o...