Impact of dependence on some multivariate risk indicators

DOI10.1007/S11009-016-9489-4MaRDI QIDQ2397956zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(8)

• Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• Semi-parametric estimation of multivariate extreme expectiles
• Some new notions of dependence with applications in optimal allocation problems
• On a capital allocation by minimization of some risk indicators
• Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
• 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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