Research Article

Estimating the Conditional Tail Expectation in the Case of Heavy-Tailed Losses

Figure 2

Values of the CTE estimator CTẼn(t) (vertical axis) versus sample sizes n (horizontal axis) evaluated at the levels t=0.25, t=0.50, t=0.75, and t=0.90 (panels (a)–(d), resp.) in the Pareto case with the tail index γ=3/4.
596839.fig.002a
(a)
596839.fig.002b
(b)
596839.fig.002c
(c)
596839.fig.002d
(d)