Capital Allocation for Sarmanov’s Class of Distributions

Raluca Vernic ()
Additional contact information
Raluca Vernic: Ovidius University of Constanta

Methodology and Computing in Applied Probability, 2017, vol. 19, issue 1, 311-330

Abstract: Abstract This paper is a follow-up of the study realized by Vernic (2014) on the aggregation of dependent random variables joined by Sarmanov’s multivariate distribution, with accent on the particular case of exponentially distributed marginals. More precisely, in this paper we present capital allocation formulas for a portfolio of risks following the just mentioned Sarmanov’s distribution. The overall capital and its allocation to the risk sources are evaluated using the TVaR rule. The resulting formulas are illustrated in some particular cases.

Keywords: Sarmanov multivariate distribution; Exponential distribution; Capital allocation; Tail-Value-at-Risk (TVaR); 60E05; 62P05; 91B30 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-016-9483-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:19:y:2017:i:1:d:10.1007_s11009-016-9483-x

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-016-9483-x

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().