Before revision: A new notion to risk measurespreserving the coherence axioms , that we call Copula Conditional Tail Expectation (CCTE), is given. This risk measure describes the expected amount of risk that can be experienced given that a potential bivariate risk exceeds a bivariate threshold value, and provides an important measure for right-tail risk.
After revision: A new notion to risk measurespreserving the coherence axioms , that we call Copula Conditional Tail Expectation describes the expected amount of risk that can be experienced given that a potential bivariate risk exceeds a bivariate threshold value, and provides an important measure for right-tail risk.