Abstract
In this paper we investigate the limiting behaviour of Conditional Tail Expectation (CTE) and its decomposition for a sum of real-valued tail-dependent random variables with regularly varying distributions. Asymptotic proportions to the corresponding Value at Risk (VaR) measures are obtained for a flexible dependence structure. For a certain practical case considering an investment portfolio exact formulas are derived and sensitivity to model parameters is analysed. We also carry out a simulation study verifying our results and revealing the speed of convergence for different values of parameters.
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