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Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models

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  • Shushi, Tomer
  • Yao, Jing

Abstract

Exponential dispersion models are well used and studied in quantitative risk management and actuarial science. One of the main interests is the risk measurement analysis of such models when facing extreme loss events. In this paper, we propose two multivariate risk measures based on conditional expectation and derive the explicit formulae for exponential dispersion models. In particular, our multivariate risk measures could facilitate a systemic risk measure with explicit expressions for exponential dispersion models subject to any pre-specified “systemic event.” We provide two numerical examples based on practical data to show the advantages of our approach in the context of exponential dispersion models.

Suggested Citation

  • Shushi, Tomer & Yao, Jing, 2020. "Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 178-186.
    • Handle: RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186
    DOI: 10.1016/j.insmatheco.2020.04.014
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    Cited by:

    1. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Risk measurement of joint risk of portfolios: a liquidity shortfall aspect," Papers 2212.04848, arXiv.org, revised May 2024.
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    3. Mohammed, Nawaf & Furman, Edward & Su, Jianxi, 2021. "Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 425-436.
    4. Li, Jinzhu, 2022. "Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 38-56.
    5. Baishuai Zuo & Chuancun Yin, 2022. "Doubly truncated moment risk measures for elliptical distributions," Papers 2203.01091, arXiv.org.
    6. Shaul K. Bar-Lev, 2021. "On the Notion of Reproducibility and Its Full Implementation to Natural Exponential Families," Mathematics, MDPI, vol. 9(13), pages 1-11, July.
    7. Nawaf Mohammed & Edward Furman & Jianxi Su, 2021. "Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation," Papers 2102.05003, arXiv.org, revised Aug 2021.
    8. Baishuai Zuo & Chuancun Yin & Jing Yao, 2023. "Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions," Papers 2305.09097, arXiv.org.

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    More about this item

    Keywords

    Multivariate risk measures; Conditional expectation; Systemic risks; Capital allocation; Exponential dispersion models;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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