On a capital allocation by minimizing multivariate risk indicators
Résumé
The issue of capital allocation in a multivariate context arises from the presence of dependence between the various risky activities which may generate a diversification effect. Several allocation methods in the literature are based on a choice of a univariate risk measure and an allocation principle, others on optimizing a multivariate ruin probability or some multivariate risk indicators. In this paper, we focus on the latter technique. Using an axiomatic approach, we study its coherence properties. We give some explicit results in mono periodic cases. Finally we analyze the impact of the dependence structure on the optimal allocation.
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