E
Edwin
Member
Hi all,
The 2012 November SOA ERM paper Q2 (a) (ii) (HERE) calculates CTE (Conditional Tail Expectation) by the following formula;-
CTE = E[X|X>Xp]

Xp is the VAR.
I was trying to compute this CTE also TVAR by evaluating the integral in the numerator only. I don't see why division by the denominator is necessary.
Please help, note that TVAR = CTE = E[-X|X<-Xp]

This def of TVAR was used in the CT8 paper i wrote here;- (APRIL 2012)
http://www.actuaries.org.uk/researc...subject-ct8-exam-papers-and-examiners-reports
(Apologies for asking many questions,still more coming)
The 2012 November SOA ERM paper Q2 (a) (ii) (HERE) calculates CTE (Conditional Tail Expectation) by the following formula;-
CTE = E[X|X>Xp]

Xp is the VAR.
I was trying to compute this CTE also TVAR by evaluating the integral in the numerator only. I don't see why division by the denominator is necessary.
Please help, note that TVAR = CTE = E[-X|X<-Xp]

This def of TVAR was used in the CT8 paper i wrote here;- (APRIL 2012)
http://www.actuaries.org.uk/researc...subject-ct8-exam-papers-and-examiners-reports
(Apologies for asking many questions,still more coming)