Vector-Valued Tail Value-at-Risk and Capital Allocation

Hélène Cossette, Mélina Mailhot (), Étienne Marceau and Mhamed Mesfioui
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Hélène Cossette: Université Laval
Mélina Mailhot: Concordia University
Étienne Marceau: Université Laval
Mhamed Mesfioui: Université du Québec à Trois-Riviàres

Methodology and Computing in Applied Probability, 2016, vol. 18, issue 3, 653-674

Abstract: Abstract Enterprise risk management, actuarial science or finance are practice areas in which risk measures are important to evaluate for heterogeneous classes of homogeneous risks. We present new measures: bivariate lower and upper orthant Tail Value-at-Risk. They are based on bivariate lower and upper orthant Value-at-Risk, introduced in Cossette et al. (Insurance: Math Econ 50(2):247–256, 2012). Many properties and applications are derived. Notably, they are shown to be positive homogeneous, invariant under translation and subadditive in distribution. Capital allocation criteria are suggested. Moreover, results on the sum of random pairs are presented, allowing to use a more accurate model for dependent classes of homogeneous risks.

Keywords: Bivariate Tail Value-at-Risk; Multivariate risk measures; Capital allocation; Copulas; Bounds; 62P05; 91B30 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11009-015-9444-9

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