TVaR-based capital allocation with copulas

By Mathieu Bargès, Hélène Cossette, É. Marceau. 2009

98 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fe32db95f981dd6116708f89394d989aabcf5a53

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Mélina Mailhot
2. Hélène Cossette
3. É. Marceau
4. Yiqing Chen

In Economics and Econometrics

1. Mélina Mailhot
2. Hélène Cossette
3. É. Marceau

In Finance

1. Mélina Mailhot
2. Hélène Cossette
3. É. Marceau
4. Yiqing Chen

Citations in the corpus

• Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation (2013, unknown): “For example, Bargès et al. (2009) investigate aggregation and capital allocation problems for an insurance company with several lines of business with dependence structure based on the FGM copula and with exponentially distributed risks. Prieger (2002) highlights its usefulness in model selection in”
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2012, methodology): “Bargès et al. (2009) propose to introduce such a dependence relation with a copula.”