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Control and Out‐of‐Sample Validation of Dependent Risks

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  • Christian Gourieroux
  • Wei Liu

Abstract

This article introduces a framework to determine and allocate capital reserves to multiple dependent business lines, with or without overall reserve level constraints. The proposed methodology emphasizes the role of the loss function in the validation criterion and its conditional interpretation. Univariate and multivariate examples are discussed in detail.

Suggested Citation

  • Christian Gourieroux & Wei Liu, 2009. "Control and Out‐of‐Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 683-707, September.
    • Handle: RePEc:bla:jrinsu:v:76:y:2009:i:3:p:683-707
    DOI: 10.1111/j.1539-6975.2009.01309.x
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    References listed on IDEAS

    as
    1. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
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