On a capital allocation by minimization of some risk indicators

DOI10.1007/s13385-016-0123-1zbMath1415.91157OpenAlexW2285814184MaRDI QIDQ303736

Véronique Maume-Deschamps, Khalil Said, Didier Rullière

Publication date: 22 August 2016

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-016-0123-1

zbMATH Keywords

coherence propertiesdependence modelingmultivariate risk indicatorsoptimal capital allocationown risk and solvency assessment ORSArisk theorySolvency 2solvency capital requirement SCR

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (5)

Impact of dependence on some multivariate risk indicators ⋮ Modality for scenario analysis and maximum likelihood allocation ⋮ Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure ⋮ Multivariate extensions of expectiles risk measures ⋮ \(K\)-expectiles clustering

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