Risk capital decomposition for a multivariate dependent gamma portfolio

Edward Furman; Zinoviy Landsman

doi:10.1016/j.insmatheco.2005.06.006

Risk capital decomposition for a multivariate dependent gamma portfolio

Edward Furman, Zinoviy Landsman

Department of Statistics

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

Abstract

This paper examines the tail conditional expectation risk measure (TCE) in the case of a multivariate gamma portfolio of risks. Explicit formulas for both the TCE and the risk capital allocations based on it are provided in the context of the multivariate model possessing dependent gamma marginals. Some of our results exceed the frameworks of the multivariate gamma distributions and may be applied to other non-negative risks.

Original language	English
Pages (from-to)	635-649
Number of pages	15
Journal	Insurance: Mathematics and Economics
Volume	37
Issue number	3
DOIs	https://doi.org/10.1016/j.insmatheco.2005.06.006
State	Published - 16 Dec 2005

Keywords

Multivariate gamma distribution
Tail conditional expectation

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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10.1016/j.insmatheco.2005.06.006

Cite this

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abstract = "This paper examines the tail conditional expectation risk measure (TCE) in the case of a multivariate gamma portfolio of risks. Explicit formulas for both the TCE and the risk capital allocations based on it are provided in the context of the multivariate model possessing dependent gamma marginals. Some of our results exceed the frameworks of the multivariate gamma distributions and may be applied to other non-negative risks.",

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AB - This paper examines the tail conditional expectation risk measure (TCE) in the case of a multivariate gamma portfolio of risks. Explicit formulas for both the TCE and the risk capital allocations based on it are provided in the context of the multivariate model possessing dependent gamma marginals. Some of our results exceed the frameworks of the multivariate gamma distributions and may be applied to other non-negative risks.

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KW - Tail conditional expectation

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Risk capital decomposition for a multivariate dependent gamma portfolio

Abstract

Keywords

ASJC Scopus subject areas

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