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Tail conditional expectation for multivariate distributions : a game theory approach

Abbasi, Babak and Hosseinifard, Seyedehzahra 2013, Tail conditional expectation for multivariate distributions : a game theory approach, Statistics and probability letters, vol. 83, no. 10, pp. 2228-2235, doi: 10.1016/j.spl.2013.06.012.

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Title Tail conditional expectation for multivariate distributions : a game theory approach
Author(s) Abbasi, Babak
Hosseinifard, Seyedehzahra
Journal name Statistics and probability letters
Volume number 83
Issue number 10
Start page 2228
End page 2235
Total pages 8
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2013-10
ISSN 0167-7152
Keyword(s) Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Tail conditional expectation
Shapley values
Coherent risk
Multivariate distributions
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DECOMPOSITION
MODELS
Summary This paper proposes using the Shapley values in allocating the total tail conditional expectation (TCE) to each business line (X j, j = 1, ... , n) when there are n correlated business lines. The joint distributions of X j and S (S = X1 + X2 + ⋯ + X n) are needed in the existing methods, but they are not required in the proposed method.
Language eng
DOI 10.1016/j.spl.2013.06.012
Field of Research 010401 Applied Statistics
080699 Information Systems not elsewhere classified
0102 Applied Mathematics
0104 Statistics
1403 Econometrics
Socio Economic Objective 970108 Expanding Knowledge in the Information and Computing Sciences
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2013, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30084883

Document type: Journal Article
Collection: Department of Information Systems and Business Analytics
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