Impact of Dependence on Some Multivariate Risk Indicators

Véronique Maume-Deschamps (), Didier Rulliere () and Khalil Said ()
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Véronique Maume-Deschamps: Université de Lyon, Université Claude Bernard Lyon 1
Khalil Said: Université de Lyon, Université Lyon 2

Methodology and Computing in Applied Probability, 2017, vol. 19, issue 2, 395-427

Abstract: Abstract The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac et al. (Stat Risk Model 29(1):47–71, 2012). The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In Maume-Deschamps et al. (2015), it is proved that the proposed allocation technique satisfies a set of coherence axioms. In the present one, we study the properties and asymptotic behavior of the allocation for some distribution models. We also analyze the impact of the dependence structure on the allocation using some copulas.

Keywords: Multivariate risk indicators; Dependence modeling; Sub-exponential distributions; Risk theory; Optimal capital allocation; Copulas; 62H00; 62P05; 91B30 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Working Paper: Impact of dependence on some multivariate risk indicators (2017)
Working Paper: Impact of dependence on some multivariate risk indicators (2015)
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DOI: 10.1007/s11009-016-9489-4

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