{"id":"W2155939604","doi":"10.1016/j.insmatheco.2011.05.002","title":"Asymptotics for risk capital allocations based on Conditional Tail Expectation","year":2011,"lang":"en","type":"article","venue":"Insurance Mathematics and Economics","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":12,"is_retracted":false,"has_abstract":false,"ca_institutions":"York University","funders":"","keywords":"Prudence; Value at risk; Expected shortfall; Economics; Capital (architecture); Context (archaeology); Capital allocation line; Measure (data warehouse); Coherent risk measure; Extreme value theory; Econometrics; Limiting; Risk measure; Value (mathematics); Dynamic risk measure; Tail risk; Actuarial science; Financial economics; Mathematics; Risk management; Microeconomics; Statistics; Computer science; Engineering; Finance","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.01051856,0.001651725,0.002488665,0.003333854,0.0009420706,0.003495203,0.003597147,0.002830065,0.008713913],"category_scores_gemma":[0.07872438,0.001416386,0.001975803,0.002517434,0.00444094,0.008968011,0.004033399,0.005598708,0.001221582],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00278939,"about_ca_system_score_gemma":0.001876986,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002921896,"about_ca_topic_score_gemma":0.002209546,"domain_scores_codex":[0.9977387,0.001126645,0.00009365594,0.0002782991,0.000493372,0.0002693427],"domain_scores_gemma":[0.9674088,0.02526199,0.002063594,0.001996766,0.002282097,0.0009866373],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00006511174,0.00005304605,0.0008970265,0.0001202298,0.00005554716,0.00007576642,0.0001815548,0.1386071,0.000759362,0.8396007,0.00240539,0.01717922],"study_design_scores_gemma":[0.00001276252,0.00001686241,0.0005177329,0.00006302503,0.00002098532,0.00006010307,0.00002834942,0.5216048,0.0002520838,0.4766819,0.0007111868,0.00003011461],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.02444815,0.001208778,0.9652128,0.0008433866,0.0001439062,0.00004637054,0.00009993585,0.0004391294,0.007557495],"genre_scores_gemma":[0.7935063,0.004859375,0.1727198,0.0009551182,0.001131829,0.0006412635,0.0006851363,0.001264214,0.02423703],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01051856,"threshold_uncertainty_score":0.05562818,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05199903100748169,"score_gpt":0.2141262437318489,"score_spread":0.1621272127243672,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}