MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES

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

1 ICJ - Institut Camille Jordan
2 PSPM - Probabilités, statistique, physique mathématique
3 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: Stochastic approximation; Copulas; Multivariate expectiles; Elicitability; Multivariate risk measures; Coherence properties; Solvency 2; Risk management; Risk theory; Dependence modeling; Capital allocation

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

Véronique Maume-Deschamps, Didier Rullière, Khalil Said. MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. Dependence Modeling, 2017. ⟨hal-01367277v2⟩