Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
DOI10.1016/J.INSMATHECO.2020.04.014zbMATH Open1446.91073OpenAlexW3024149675WikidataQ115571841 ScholiaQ115571841MaRDI QIDQ784433FDOQ784433
Authors: Tomer Shushi, Jing Yao 
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.04.014
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conditional expectationcapital allocationmultivariate risk measuresexponential dispersion modelssystemic risks
Actuarial mathematics (91G05) Statistical methods; risk measures (91G70) Financial networks (including contagion, systemic risk, regulation) (91G45)
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Cited In (11)
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- A multivariate CVaR risk measure from the perspective of portfolio risk management
- Multivariate tail covariance risk measure for generalized skew-elliptical distributions
- On some layer-based risk measures with applications to exponential dispersion models
- A new approach to measure systemic risk: a bivariate copula model for dependent censored data
- The location of a minimum variance squared distance functional
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
- Tail Conditional Expectations for Exponential Dispersion Models
- Capital allocation with multivariate convex risk measures
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