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MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES

Véronique Maume-Deschamps, Didier Rulliere () and Khalil Said ()
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Véronique Maume-Deschamps: ICJ - Institut Camille Jordan [Villeurbanne] - CNRS - Centre National de la Recherche Scientifique - UJM - Université Jean Monnet [Saint-Étienne] - ECL - École Centrale de Lyon - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, PSPM - Probabilités, statistique, physique mathématique - ICJ - Institut Camille Jordan [Villeurbanne] - CNRS - Centre National de la Recherche Scientifique - UJM - Université Jean Monnet [Saint-Étienne] - ECL - École Centrale de Lyon - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Khalil Said: ICJ - Institut Camille Jordan [Villeurbanne] - CNRS - Centre National de la Recherche Scientifique - UJM - Université Jean Monnet [Saint-Étienne] - ECL - École Centrale de Lyon - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, PSPM - Probabilités, statistique, physique mathématique - ICJ - Institut Camille Jordan [Villeurbanne] - CNRS - Centre National de la Recherche Scientifique - UJM - Université Jean Monnet [Saint-Étienne] - ECL - École Centrale de Lyon - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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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: Capital allocation; Dependence modeling; Risk theory; Risk management; Solvency 2; Coherence properties; Multivariate risk measures; Elicitability; Multivariate expectiles; Copulas; Stochastic approximation (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2017
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01367277v2
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Published in Dependence Modeling, De Gruyter, 2017

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Journal Article: Multivariate extensions of expectiles risk measures (2017) Downloads
Working Paper: Multivariate extensions of expectiles risk measures (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01367277

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