Tail Conditional Expectations for Extended Exponential Dispersion Models

 dc.contributor.advisor Wu, Qiang en_US dc.contributor.advisor Hong, Don en_US dc.contributor.author Ye, Ye en_US dc.contributor.committeemember Calahan, Rebecca en_US dc.contributor.department Basic & Applied Sciences en_US dc.date.accessioned 2014-08-28T18:30:36Z dc.date.available 2014-08-28T18:30:36Z dc.date.issued 2014-06-05 en_US dc.description.abstract For a loss that can be incurred in a given period, the tail conditional expectation, also termed as tail value-at-risk, is the conditional average amount of loss, given that the loss exceeds a specified value. This measurement helps insurance companies to determine the amounts of capital to pay out claims resulted from catastrophic event when premium revenues are insufficient. In this paper, we extend the exponential dispersion models and derive tail conditional expectation forms of the extended models. en_US dc.description.degree M.S. en_US dc.identifier.uri http://jewlscholar.mtsu.edu/handle/mtsu/4263 dc.publisher Middle Tennessee State University en_US dc.subject Extended Exponential Dispersion en_US dc.subject Tail Conditional Expectation en_US dc.subject Tail value-at-risk en_US dc.subject.umi Mathematics en_US dc.subject.umi Applied mathematics en_US dc.thesis.degreegrantor Middle Tennessee State University en_US dc.thesis.degreelevel Masters en_US dc.title Tail Conditional Expectations for Extended Exponential Dispersion Models en_US dc.type Thesis en_US
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
Ye_mtsu_0170N_10277.pdf
Size:
176.95 KB
Format:
Adobe Portable Document Format
Description: