TVaR-based capital allocation with copulas
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Publication:659153
DOI10.1016/J.INSMATHECO.2009.08.002zbMATH Open1231.91141OpenAlexW2058121906WikidataQ59444597 ScholiaQ59444597MaRDI QIDQ659153FDOQ659153
Authors: Mathieu Bargès, Hélène Cossette, É. Marceau 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.08.002
Recommendations
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Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
Cites Work
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- Conditional tail expectations for multivariate phase-type distributions
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
- Stochastic Comparison of Random Vectors with a Common Copula
- Matrix‐analytic Models and their Analysis
- Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
- Two servers in series, studied in terms of a Markov renewal branching process
- Claim dependence with common effects in credibility models
Cited In (41)
- Estimation of multivariate conditional-tail-expectation using Kendall's process
- Conditional excess risk measures and multivariate regular variation
- Coupled projects, core imputations, and the CAPM
- A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
- Testing tail monotonicity by constrained copula estimation
- Analysis of the discounted sum of ascending ladder heights
- Risk evaluation and capital allocation based on TVaR and EVaR with copula
- Rank-based methods for modeling dependence between loss triangles
- Simple risk measure calculations for sums of positive random variables
- On the distribution of a sum of Sarmanov distributed random variables
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study
- On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
- Capital allocation based on the tail covariance premium adjusted
- AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS
- Tail dependence and heavy tailedness in extreme risks
- Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
- Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks
- Risk models based on copulas for premiums and claim sizes
- On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
- Concave distortion risk minimizing reinsurance design under adverse selection
- CMPH: a multivariate phase-type aggregate loss distribution
- Properties of a risk measure derived from the expected area in red
- Asymptotic results on marginal expected shortfalls for dependent risks
- Collective risk models with dependence
- Asymptotic results on tail moment and tail central moment for dependent risks
- Optimal expected-shortfall portfolio selection with copula-induced dependence
- On multivariate extensions of conditional-tail-expectation
- A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
- On the analysis of a general class of dependent risk processes
- On some properties of a class of multivariate Erlang mixtures with insurance applications
- On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
- Ruin-based risk measures in discrete-time risk models
- Risk aggregation with FGM copulas
- Impact of dependence on some multivariate risk indicators
- On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
- Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Capital allocation for Sarmanov's class of distributions
- Multivariate distributions with time and cross-dependence: aggregation and capital allocation
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