Impact of dependence on some multivariate risk indicators
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- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016. "Impact of dependence on some multivariate risk indicators," Post-Print hal-01171395, HAL.
References listed on IDEAS
- Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel, 2012. "Optimal Capital Allocation Principles," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(1), pages 1-28, March.
- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015. "A risk management approach to capital allocation," Papers 1506.04125, arXiv.org.
- Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
- Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Post-Print hal-00816894, HAL.
- Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
- Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
- Elyés Jouini & Moncef Meddeb & Nizar Touzi, 2004.
"Vector-valued coherent risk measures,"
Finance and Stochastics,
Springer, vol. 8(4), pages 531-552, November.
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- Cai, Jun & Li, Haijun, 2007. "Dependence properties and bounds for ruin probabilities in multivariate compound risk models," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 757-773, April.
- Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne, 2009. "TVaR-based capital allocation with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 348-361, December.
- Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
- Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349, arXiv.org, revised Apr 2013.
- repec:dau:papers:123456789/353 is not listed on IDEAS
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