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
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