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Impact of dependence on some multivariate risk indicators

V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
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V\'eronique Maume-Deschamps: ICJ
Didier Rulli\`ere: SAF
Khalil Said: SAF

Authors registered in the RePEc Author Service: Didier Rulliere ()

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Abstract: The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous paper [17] we 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 analyze also the impact of the dependence structure on the allocation using some copulas.

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Date: 2015-07
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Working Paper: Impact of dependence on some multivariate risk indicators (2017) Downloads
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