Multivariate extensions of expectiles risk measures

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

1 ICJ - Institut Camille Jordan
2 SAF - Laboratoire de Sciences Actuarielle et Financière

This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.

Mots clés: Multivariate risk measures; Solvency 2; Risk management; Risk theory; Dependence modeling; Capital allocation; Multivariate expectiles; Elicitability; Coherence properties; Stochastic approximation; Copulas

Domaines: Gestion des risques [q-fin.RM]; Applications [stat.AP]

Véronique Maume-Deschamps, Didier Rullière, Khalil Said. Multivariate extensions of expectiles risk measures. 2016. ⟨hal-01367277v1⟩