Optimal capital allocation with copulas

DOI10.15672/HJMS.20174620776MaRDI QIDQ4590842zbMATH OpenOpenAlexFDO

Authors Wei Zou, Jie-hua Xie

Publication date 20 November 2017

Published in Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15672/hjms.20174620776

zbMATH Keywords

copulaoptimal capital allocationtail mean-variance

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Optimal capital allocation based on the tail mean-variance model
• Optimal capital allocations to interdependent actuarial risks
• Optimal capital allocation based on weighted-mean-variance principle
• Capital allocation based on the tail covariance premium adjusted
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation

Cited in

(20)

• Optimal capital allocation based on the tail mean-variance model
• Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
• Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
• Impact of dependence on some multivariate risk indicators
• A note on allocation of portfolio shares of random assets with Archimedean copula
• Optimal capital allocations to interdependent actuarial risks
• Capital allocation based on the tail covariance premium adjusted
• Risk aggregation and capital allocation using a new generalized Archimedean copula
• Optimal capital allocation for individual risk model using a mean-variance principle
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• scientific article; zbMATH DE number 5831366 (Why is no real title available?)
• Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• The Use of Archimedean Copulas to Model Portfolio Allocations
• Portfolio selection with commodities under conditional copulas and skew preferences
• Optimal capital allocation based on weighted-mean-variance principle
• Risk evaluation and capital allocation based on TVaR and EVaR with copula
• scientific article; zbMATH DE number 5589331 (Why is no real title available?)
• TVaR-based capital allocation with copulas
• Some new notions of dependence with applications in optimal allocation problems

This page was built for publication: Optimal capital allocation with copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4590842)