Elliptical families and copulas: Tilting and premium; Capital allocation

Research output: Contribution to journalArticlepeer-review


Elliptical copula measures with symmetrical marginals are proposed as a natural generalization of the elliptical family, which preserves the symmetrical character of marginals, but is more flexible in the choice of their shape parameters. The properties of these copulas are investigated and the elliptical copula tilting and corresponding premium are proposed as a natural tool for portfolio capital allocation. For the case of the multivariate normal family, such a tilting and premium coincide with the Esscher transform and premium.

Original languageEnglish
Pages (from-to)85-103
Number of pages19
JournalScandinavian Actuarial Journal
Issue number2
StatePublished - Jun 2009


  • Capital allocation
  • Elliptical copula and family
  • Elliptical copula tilting
  • Premium
  • Symmetric marginals

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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