Impact of Dependence on Some Multivariate Risk Indicators
2016; Springer Science+Business Media; Volume: 19; Issue: 2 Linguagem: Inglês
10.1007/s11009-016-9489-4
ISSN1573-7713
AutoresVéronique Maume‐Deschamps, Didier Rullière, Khalil Said,
Tópico(s)Probability and Risk Models
ResumoThe minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac et al. (Stat Risk Model 29(1):47–71, 2012). The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In Maume-Deschamps et al. (2015), it is 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 also analyze the impact of the dependence structure on the allocation using some copulas.
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