On the Nonparametric Estimation of Conditional Tail Expectation

One of the most important actuarial risk measures is the conditional tail expectation (CTE) which is the average amount of loss given that the loss exceeds a specified quantile. This paper focuses on the nonparametric estimation of CTE risk measure based on kernel method. Asymptotic properties of the proposed estimator are studied. A simulation study is conducted to compare the performances of the proposed estimator with its empirical competitor.