Impact of dependence on some multivariate risk indicators

Véronique Maume-Deschamps (1, 2) , Didier Rullière (3) , Khalil Said (3, 4)

1 ICJ - Institut Camille Jordan
2 PSPM - Probabilités, statistique, physique mathématique
3 SAF - Laboratoire de Sciences Actuarielle et Financière
4 COACTIS - COnception de l'ACTIon en Situation

The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous paper [17] we proved that the proposed allocation technique satisfies a set of coherence axioms. In the present one, we study the properties and asymptotic behavior of the allocation for some distribution models. We analyze also the impact of the dependence structure on the allocation using some copulas.

Mots clés: dependence modeling; risk theory; sub-exponential distributions; copulas.; Multivariate risk indicators; optimal capital allocation

Domaines: Probabilités [math.PR]; Statistiques [math.ST]; Gestion des risques [q-fin.RM]

Véronique Maume-Deschamps, Didier Rullière, Khalil Said. Impact of dependence on some multivariate risk indicators. Methodology and Computing in Applied Probability, 2017, 19, pp.395-427. ⟨10.1007/s11009-016-9489-4⟩. ⟨hal-01171395⟩