Multivariate extensions of expectiles risk measures

Maume-Deschamps Véronique (), Didier Rulliere () and Said Khalil ()
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Maume-Deschamps Véronique: Université de Lyon, Université Lyon 1, Institut Camille Jordan UMR 5208, Lyon, France
Said Khalil: Université de Lyon, Université Lyon 1, Institut Camille Jordan UMR 5208, Lyon, France

Dependence Modeling, 2017, vol. 5, issue 1, 20-44

Abstract: This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.

Keywords: Multivariate risk measures; Solvency 2; Risk management; Risk theory; Dependence modeling; Capital allocation; Multivariate expectiles; Elicitability; Coherence properties; Stochastic approximation; Copulas (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Working Paper: Multivariate extensions of expectiles risk measures (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:20-44:n:2

DOI: 10.1515/demo-2017-0002

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