A
Avi0013
Member
A question for anyone studying for the UK ST9 exam for CAS CERA (or fellowship in the Institute & Faculty for that matter).
Thankfully I know what TVaR is; I use it on a regular basis when performing analyses. However, I'm not familiar with what Sweeting means by on page 398, equation 15.16, when discussing empirical TVaR through interpolation (it's also page 14 of ST-9 10 in the ActEd Course Notes).
The entire equation is:
L_{X,t_-}}{\sum_{t=\lceil{T\alpha}\rceil}^T%20I(t\geq%20T\alpha)+(\lceil{T\alpha}\rceil%20-%20T\alpha)})
The idea is that you start the standard "Sum and count" from the first "instance" above the cutoff Ta, and then you add the portion of the loss or event that "bled into" the cutoff. So the denominator is adding the "fractional" indication. If I understand the theory, the numerator should add the same fraction of the loss that started below the cutoff, L(x, t-). So is it as simple as Ceiling(Ta) = t+ or am I missing something?
Also, I believe this site would greatly benefit from MathJax.
Thank you.
Thankfully I know what TVaR is; I use it on a regular basis when performing analyses. However, I'm not familiar with what Sweeting means by on page 398, equation 15.16, when discussing empirical TVaR through interpolation (it's also page 14 of ST-9 10 in the ActEd Course Notes).
The entire equation is:
The idea is that you start the standard "Sum and count" from the first "instance" above the cutoff Ta, and then you add the portion of the loss or event that "bled into" the cutoff. So the denominator is adding the "fractional" indication. If I understand the theory, the numerator should add the same fraction of the loss that started below the cutoff, L(x, t-). So is it as simple as Ceiling(Ta) = t+ or am I missing something?
Also, I believe this site would greatly benefit from MathJax.
Thank you.