Risk capital decomposition for a multivariate dependent gamma portfolio

Edward Furman, Zinoviy Landsman

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)635-649
Number of pages15
JournalInsurance: Mathematics and Economics
Issue number3
StatePublished - 16 Dec 2005


  • Multivariate gamma distribution
  • Tail conditional expectation

ASJC Scopus subject areas

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


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