Economic capital allocations for non-negative portfolios of dependent risks

Edward Furman; Zinoviy Landsman

doi:10.2143/AST.38.2.2033355

Economic capital allocations for non-negative portfolios of dependent risks

Edward Furman, Zinoviy Landsman

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	601-619
Number of pages	19
Journal	ASTIN Bulletin
Volume	38
Issue number	2
DOIs	https://doi.org/10.2143/AST.38.2.2033355
State	Published - Nov 2008

Keywords

Economic capital allocations
Multivariate Tweedie distributions
Multivariate compound poisson distributions
Multivariate non-negative dependent risks
Tail conditional expectation risk measure

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.2143/AST.38.2.2033355

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abstract = "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.",

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AB - 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.

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KW - Multivariate Tweedie distributions

KW - Multivariate compound poisson distributions

KW - Multivariate non-negative dependent risks

KW - Tail conditional expectation risk measure

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Economic capital allocations for non-negative portfolios of dependent risks

Abstract

Keywords

ASJC Scopus subject areas

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