TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts

DOI10.1016/j.insmatheco.2011.11.006zbMath1235.91086MaRDI QIDQ2427830

Mélina Mailhot, Hélène Cossette, Étienne Marceau

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.11.006

zbMATH Keywords

capital allocation; dependence models; mixed Erlang distribution; tail value at risk; multivariate compound distributions; multivariate compound Poisson distributions

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G10: Portfolio theory

91G40: Credit risk

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