Abstract
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 language | English |
|---|---|
| Pages (from-to) | 85-103 |
| Number of pages | 19 |
| Journal | Scandinavian Actuarial Journal |
| Issue number | 2 |
| DOIs | |
| State | Published - Jun 2009 |
Keywords
- 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