Expectile-based capital allocation

Said Khalil ()
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Said Khalil: INSEA - Institut National de Statistique et d’Economie Appliquée [Rabat]

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Abstract: In this paper, we focus on capital allocation using Euler principle with expectiles risk measures. We study the allocation composition for several actuarial models. The dependence impact is examined using some copulas and the comonotonic case is studied. The marginal contributions expressions are also given for all the studied models.

Keywords: Risk management; Risk theory; Dependence modelling; Capital allocation; Expectiles; Elicitability; Copulas; 2010 Mathematics Subject Classification: 62H05; 91B05; 91G05 (search for similar items in EconPapers)
Date: 2022-10-16
New Economics Papers: this item is included in nep-rmg
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