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On a capital allocation by minimizing multivariate risk indicators

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  • Véronique Maume-Deschamps

    (ICJ - Institut Camille Jordan - ECL - École Centrale de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique, PSPM - Probabilités, statistique, physique mathématique - ICJ - Institut Camille Jordan - ECL - École Centrale de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique)

  • Didier Rullière

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Khalil Said

    (COACTIS - COnception de l'ACTIon en Situation - UL2 - Université Lumière - Lyon 2 - UJM - Université Jean Monnet - Saint-Étienne, SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

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.

Suggested Citation

  • Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016. "On a capital allocation by minimizing multivariate risk indicators," Post-Print hal-01082559, HAL.
    • Handle: RePEc:hal:journl:hal-01082559
    Note: View the original document on HAL open archive server: https://hal.science/hal-01082559
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    References listed on IDEAS

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