Optimal capital allocation based on the tail mean-variance model

DOI10.1016/j.insmatheco.2013.08.005zbMath1290.91152OpenAlexW2039519497MaRDI QIDQ2015620

Tiantian Mao, Maochao Xu

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.005

zbMATH Keywords

capital allocationelliptical distributionmean-variance modelmultivariate regular variationquadratic distance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Portfolio theory (91G10)

Related Items (11)

Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure ⋮ Multiobjective optimization of credit capital allocation in financial institutions ⋮ The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution ⋮ GlueVaR risk measures in capital allocation applications ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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