Impact of dependence on some multivariate risk indicators
Didier Rulli\`ere and
Additional contact information
V\'eronique Maume-Deschamps: ICJ
Didier Rulli\`ere: SAF
Khalil Said: SAF
Authors registered in the RePEc Author Service: Didier Rulliere ()
Papers from arXiv.org
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. . The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous paper  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.
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1507.01175 Latest version (application/pdf)
Working Paper: Impact of dependence on some multivariate risk indicators (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1507.01175
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().