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Journal Articles Methodology and Computing in Applied Probability Year : 2017

Impact of dependence on some multivariate risk indicators

Abstract

The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac 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.
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hal-01171395 , version 1 (04-07-2015)

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Véronique Maume-Deschamps, Didier Rullière, Khalil Said. Impact of dependence on some multivariate risk indicators. Methodology and Computing in Applied Probability, 2017, 19, pp.395-427. ⟨10.1007/s11009-016-9489-4⟩. ⟨hal-01171395⟩
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