Russo, Ralph P.; Shyamalkumar, Nariankadu D. - In: Insurance: Mathematics and Economics 47 (2010) 3, pp. 352-357
The Conditional Tail Expectation (CTE) is gaining an increasing level of attention as a measure of risk. It is known that nonparametric unbiased estimators of the CTE do not exist, and that , the empirical [alpha]-level CTE (the average of the n(1-[alpha]) largest order statistics in a random...