Impact of dependence on some multivariate risk indicators

DOI10.1007/S11009-016-9489-4zbMATH Open1369.62139arXiv1507.01175OpenAlexW2963794286MaRDI QIDQ2397956FDOQ2397956

Authors: Véronique Maume-Deschamps, Khalil Said, Didier Rullière 

Publication date: 14 August 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous paper [17] we proved that the proposed allocation technique satisfies a set of coherence axioms. In the present one, we study the properties and asymptotic behavior of the allocation for some distribution models. We analyze also the impact of the dependence structure on the allocation using some copulas.

Full work available at URL: https://arxiv.org/abs/1507.01175

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zbMATH Keywords

copulasdependence modelingmultivariate risk indicatorsoptimal capital allocationrisk theorysub-exponential distributions

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (6)

• Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• Semi-parametric estimation of multivariate extreme expectiles
• On a capital allocation by minimization of some risk indicators
• High level quantile approximations of sums of risks
• Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm

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