Multivariate extensions of expectiles risk measures

• Autorzy: Véronique Maume-Deschamps , Didier Rullière , Khalil Said
• Języki publikacji: EN

Abstrakty

EN

This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.

Słowa kluczowe

EN

Multivariate risk measures; Solvency 2; Risk management; Risk theory; Dependence modeling; Capital allocation; Multivariate expectiles; Elicitability; Coherence properties; Stochastic approximation; Copulas

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 20-44

Daty

wydano

2017-01-01

otrzymano

2016-09-15

zaakceptowano

2017-02-01

online

2017-02-24

Twórcy

autor

Véronique Maume-Deschamps

• Université de Lyon, Université Lyon 1, Institut Camille Jordan UMR 5208,

autor

Didier Rullière

• Université de Lyon, Université Lyon 1, Laboratoire SAF EA 2429,

autor

Khalil Said

• Université de Lyon, Université Lyon 1, Institut Camille Jordan UMR 5208,

Identyfikatory

DOI

10.1515/demo-2017-0002