Multivariate Pareto portfolios: TCE-based capital allocation and divided differences

By Arthur Chiragiev, Zinoviy Landsman. 2007

63 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9302695e41b9a72a7eb155a2e87ab49a76bd757f

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Citations in the corpus

Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, unknown): “(2005) for related discussions on this allocation as a consequence of the Euler principle, as well as Dhaene et al. (2011) for optimality studies of interest. Although (1.1) is quite elegant and satisfies many desirable properties, its analytic tractability for generally distributed and possibly dep”
Weighted Risk Capital Allocations (2008, unknown): “For results, which are mainly related to TCEtype capital allocations, we refer to Hurlimann (2001), Panjer and Jing (2001), Panjer (2002), Landsman and Valdez (2003), Cai and Li (2005), Furman and Landsman (2005, 2007), Chiragiev and Landsman (2007) , Vernic (2008) and Dhaene et al. (2008a,b), and ”
Skewed distributions in finance and actuarial science: a review (2015, background): “…multivariate normal, Valdez and Chernih (2003) the multivariate elliptical, Furman and Landsman (2005) a multivariate gamma, Landsman and Valdez (2005) exponential dispersion models, Chiragiev and Landsman (2007) a multivariate Pareto distribution, and Dhaene et al. (2008) elliptical distributions.”
On a Multivariate Pareto Distribution (2010, unknown): “ance retentions by Chiragiev and Landsman (2007) (see, also, Vernic, 2009) and Cai”
TVaR-based capital allocation with copulas (2009, unknown): “…1 ; :::; j k to complete 1 ; :::; n , A 0 { } { As in the proof of the Proposition 4, we use the fact that and we obtain Using the divided diﬀerence as in Chiragiev and Landsman (2007), notice that where Then, we have where Let also Given that the risks here are exponentially distributed, H i and…”
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2012, methodology): “As in e.g. Furman and Landsman (2005, 2008), Chiragiev and Landsman (2007), and Bargès et al. (2009), the capital allocation is based on a top–down approach: we first determine the global amount of capital for the whole portfolio and, using a TVaR-based allocation rule, we determine the amount of…”