Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

DOI10.1016/j.insmatheco.2020.04.014zbMath1446.91073OpenAlexW3024149675WikidataQ115571841 ScholiaQ115571841MaRDI QIDQ784433

Jing Yao, Tomer Shushi

Publication date: 3 August 2020

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.04.014

zbMATH Keywords

conditional expectationcapital allocationmultivariate risk measuresexponential dispersion modelssystemic risks

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (7)

Multivariate tail covariance risk measure for generalized skew-elliptical distributions ⋮ The location of a minimum variance squared distance functional ⋮ A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model ⋮ Capital allocation with multivariate convex risk measures ⋮ Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure

Uses Software

• QRM

Cites Work

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