In this paper, we introduce a new risk measure, the so-called conditional tail moment. It is defined as the moment of order a ≥ 0 of the loss distribution above the upper α-quantile where α ∈ (0,1).

This is a preview. Log in through your library . Abstract This paper considers ergodic, continuous-time Markov chains {X (t)} tɛ(-∞, ∞) on Z + = {0, 1,…}. For an arbitrarily fixed N∊ Z+, we study the ...