Asymptotics for risk capital allocations based on conditional tail expectation

DOI10.1016/J.INSMATHECO.2011.05.002zbMATH Open1228.91029OpenAlexW3123609259MaRDI QIDQ654806FDOQ654806

Authors: Alexandru V. Asimit, Edward Furman, Raluca Vernic, Qihe Tang 

Publication date: 21 December 2011

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13126/1/aftv_rev3.pdf

Recommendations

• Some results on the CTE-based capital allocation rule
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Asymptotic Analysis of Multivariate Tail Conditional Expectations
• On multivariate extensions of conditional-tail-expectation
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation

zbMATH Keywords

extreme value theoryvalue-at-riskcapital allocationheavy-tailed distributionsasymptotic dependence and independenceconditional tail expectation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

• Title not available (Why is that?)
• An introduction to copulas. Properties and applications
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Tails of multivariate Archimedean copulas
• Residual life time at great age
• Risk capital decomposition for a multivariate dependent gamma portfolio
• Sur la distribution limite du terme maximum d'une série aléatoire
• Heavy-Tail Phenomena
• Tail Conditional Expectations for Elliptical Distributions
• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Extremes on the discounted aggregate claims in a time dependent risk model
• Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
• Limit theory for bilinear processes with heavy-tailed noise
• Tail dependence from a distributional point of view
• Multivariate skew-normal distributions with applications in insurance
• Some results on the CTE-based capital allocation rule
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Conditional tail expectations for multivariate phase-type distributions
• Correlation order, merging and diversification
• Title not available (Why is that?)
• Asymptotic results for the sum of dependent non-identically distributed random variables
• Asymptotics of sums of lognormal random variables with Gaussian copula
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• Risk Measures and Comonotonicity: A Review
• Weighted premium calculation principles
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
• Weighted risk capital allocations
• Tail risk of multivariate regular variation
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
• Asymptotics of random contractions
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Wang's capital allocation formula for elliptically contoured distributions.
• Aggregation of rapidly varying risks and asymptotic independence

Cited In (66)

• Estimation of multivariate conditional-tail-expectation using Kendall's process
• GlueVaR risk measures in capital allocation applications
• Relative bound and asymptotic comparison of expectile with respect to expected shortfall
• Non-parametric estimation of conditional tail expectation for long-horizon returns
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Simple risk measure calculations for sums of positive random variables
• On the distribution of a sum of Sarmanov distributed random variables
• Second order regular variation and conditional tail expectation of multiple risks
• Tails of higher-order moments with dominatedly varying summands
• Tail dependence and heavy tailedness in extreme risks
• Optimal capital allocation based on the tail mean-variance model
• Extremes for multivariate expectiles
• Systemic risk: an asymptotic evaluation
• Some results on the CTE-based capital allocation rule
• Some new notions of dependence with applications in optimal allocation problems
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
• Forecasting compositional risk allocations
• Extremes for coherent risk measures
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
• Asymptotics for systemic risk with dependent heavy-tailed losses
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
• An asymptotic study of systemic expected shortfall and marginal expected shortfall
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Asymptotic results on marginal expected shortfalls for dependent risks
• An asymptotic characterization of hidden tail credit risk with actuarial applications
• On the worst and least possible asymptotic dependence
• Background risk models and stepwise portfolio construction
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Extremes for a general contagion risk measure
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Asymptotics for large claims reinsurance in a time-dependent renewal risk model
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
• Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
• Conditional tail expectation of randomly weighted sums with heavy-tailed distributions
• Asymptotics for Operational Risk Quantified with Expected Shortfall
• Extremes and products of multivariate AC-product risks
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• Tail behavior of weighted sums of order statistics of dependent risks
• A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
• Measuring the tail risk: an asymptotic approach
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• Conditional tail risk measures for the skewed generalised hyperbolic family
• Paths and indices of maximal tail dependence
• Asymptotic analysis of the loss given default in the presence of multivariate regular variation
• On the Haezendonck-Goovaerts risk measure for extreme risks
• Random difference equations with subexponential innovations
• On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
• On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
• Title not available (Why is that?)
• Asymptotics for credit portfolio losses due to defaults in a multi-sector model
• Asymptotic results on tail moment for light-tailed risks
• Asymptotics for value at risk and conditional tail expectation of a portfolio loss
• On joint marginal expected shortfall and associated contribution risk measures
• Asymptotic capital allocation based on the higher moment risk measure
• Generalized moments of sums with heavy-tailed random summands
• Asymptotic results on tail moment and tail central moment for dependent risks
• Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
• Estimation of the adjusted standard-deviatile for extreme risks
• Asymptotics of the loss-based tail risk measures in the presence of extreme risks

This page was built for publication: Asymptotics for risk capital allocations based on conditional tail expectation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654806)