Impact of dependence on some multivariate risk indicators

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

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.

Date: 2015-07
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1507.01175 Latest version (application/pdf)

Related works:
Journal Article: Impact of Dependence on Some Multivariate Risk Indicators (2017)
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) HTML/Text

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 ().