TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
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Publication:2427830
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
capital allocation; dependence models; mixed Erlang distribution; tail value at risk; multivariate compound distributions; multivariate compound Poisson distributions
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G10: Portfolio theory
91G40: Credit risk
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