In this paper we explore the problem of economic capital allocations in the context of non-negative multivariate (insurance) risks possessing a dependence structure. We derive a general result and illustrate it with a number of useful examples. One such example, for instance, develops explicit expressions for the discussed economic capital decomposition rule when the underlying portfolio consists of dependent compound Poisson risks.
- Economic capital allocations
- Multivariate Tweedie distributions
- Multivariate compound poisson distributions
- Multivariate non-negative dependent risks
- Tail conditional expectation risk measure
ASJC Scopus subject areas
- Economics and Econometrics