Wang’s capital allocation formula for elliptically contoured distributions

By Emiliano A. Valdez, Andrew Chernih. 2003

89 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b23758b5f2c12ba5b480940d848ae0a80a8719a2

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In Demography

In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Skewed distributions in finance and actuarial science: a review (2015, background): “Panjer (2002) studies the 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)…”
After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, unknown): “However, capital allocation is a very difficult subject, and closed-form solutions for component risks are known only for special cases, the best known of which is where risk factors are elliptically distributed (see Garman, 1997; Wang, 2002b; Valdez and Chernih, 2003 ).”
Economic Capital and the Aggregation of Risks Using Copulas (2009, background): “Two further references for elliptical distributions are Landsman and Valdez (2003) and Valdez and Chernih (2003).”
Tail Conditional Variance for Elliptically Contoured Distributions (2004, background): “In particular, for p = (n+m)/2, we suggest instead of (21) to consider”
Optimal Capital Allocation Principles (2005, unknown): “In Valdez and Chernih (2003), expressions for covariance-based allocations are derived for multivariate elliptical risks.”
Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, unknown): “To emphasize the point, we refer the reader to Panjer and Jia (2001), Landsman and Valdez (2003), Valdez and Chernih (2003), Cai and Li (2005), Furman and Landsman (2005, 2006, 2008), Chiragiev and Landsman (2007), Vernic (2006, 2011) and Dhaene et al. (2008) for analytic expressions for (1.1)…”
Weighted Risk Capital Allocations (2008, unknown): “At the moment we only briefly note that while desirable properties of risk measures have been extensively studied in the literature for a long time (see, e.g., Goovaerts et al. (1984), Artzner et al. (1999), Denuit et al. (2005), Dhaene et al. (2006); and references therein), properties of allocatio”
On the Impossibility of Fair Risk Allocation (2010, background): “Young (1985)’s proof goes by induction on the number of unanimity games needed to span games.”