Estimating conditional tail expectation with actuarial applications in view

Abstract: We develop statistical inferential tools for estimating and comparing conditional tail expectation (CTE) functions, which are of considerable interest in actuarial science. In particular, we construct estimators for the CTE functions, develop the necessary asymptotic theory for the estimators, and then use the theory for constructing confidence intervals and bands for the functions. Both parametric and non-parametric approaches are explored. Simulation studies illustrate the performance of estimators in various situations. Results are obtained under minimal assumptions, and the general Vervaat process plays a crucial role in achieving these goals. [Copyright &y& Elsevier]