多元Log-PH分布的CTE风险度量

Conditional Tail Expectations for Multivariate Log Phase Type Distributions

CTE风险度量是一种关于重尾分布考虑了分位点以上部分平均损失的重要的度量方法。从一元Log-PH分布和多元PH分布的CTE风险度量研究,推广到多元Log-PH分布的CTE风险度量。结合文献[7]给出的次序统计量方法,运用多元Log-PH分布的Markov链性质,求解出多元Log-PH分布的CTE风险度量表达式。

The conditional tail expectation is about heavy tail distribution for consider average loss above quantile. This article is an extension of the conditional tail expectation from Log phase - type distribution and multivariate phase - type distribution to multivariate Log phase - type distribution. Taking reference of order statistic method given in reference [ 7 ], using Markov chain properties of multivariate Log phase - type distribution, we construct the conditional tail expectation of multivariate Log phase - type distribution.