It is incontrovertible that financial markets are dominated by risk averse. This does not prevent investors from expecting high returns. The age-long challenge facing them had always been the intricacies of determining appropriate measure of risk and the equilibrating relationship between the measure of risk and the associated expected return of an investor. The tail conditional variance, TCV for short, provides a measure of the variability of the risk along the tail distribution. In this paper, we derive explicit formulas for computing TCV for a Weibull Distribution. We further examine the distortion risk measure to the degree of variability of a loss random variable in the tail of the Weibull Distribution.
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