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Confusing mean loss with expected shortfall

The whole-model mean and a selected worst-tail mean answer different questions.

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Compute the full-model mean

The original −10/0/10/50 losses with 30/40/25/5 percent probabilities have mean −3+0+2.5+2.5=2 loss units. This averages every model outcome and includes the gain outcome.

Compute the selected 90% tail average

The worst 10% mass has weighted loss 0.05×50+0.05×10=3. Dividing by 0.10 gives 30. Dividing by one instead would leave an unnormalised tail contribution, not the selected-tail average.

Use another original model to check the distinction

For losses 0/100/1,000 with probabilities 99/0.9/0.1 percent, mean loss is 1.9. At 95% confidence, exact-tail ES is 1.9/0.05=38 because the selected tail adds zero-loss mass to the positive-loss events.

Retain both if they serve the task

A tool may display mean and ES together, but each needs its own label. Changing one to match the other would discard the distributional question the reader is trying to answer.

Further references