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Expectile-based capital allocation

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  • Said Khalil

    (INSEA - Institut National de Statistique et d’Economie Appliquée [Rabat])

Abstract

In this paper, we focus on capital allocation using Euler principle with expectiles risk measures. We study the allocation composition for several actuarial models. The dependence impact is examined using some copulas and the comonotonic case is studied. The marginal contributions expressions are also given for all the studied models.

Suggested Citation

  • Said Khalil, 2022. "Expectile-based capital allocation," Working Papers hal-03816525, HAL.
    • Handle: RePEc:hal:wpaper:hal-03816525
    Note: View the original document on HAL open archive server: https://hal.science/hal-03816525
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    References listed on IDEAS

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    1. Maume-Deschamps Véronique & Rullière Didier & Said Khalil, 2017. "Multivariate extensions of expectiles risk measures," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.
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    3. Maume-Deschamps Véronique & Rullière Didier & Said Khalil, 2018. "Extremes for multivariate expectiles," Statistics & Risk Modeling, De Gruyter, vol. 35(3-4), pages 111-140, July.
    4. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate Extensions Of Expectiles Risk Measures," Working Papers hal-01367277, HAL.
    5. Dora Balog, 2011. "Capital allocation in financial institutions: the Euler method," CERS-IE WORKING PAPERS 1126, Institute of Economics, Centre for Economic and Regional Studies.
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    11. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate extensions of expectiles risk measures," Post-Print hal-01478930, HAL.
    12. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    13. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
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    More about this item

    Keywords

    Risk management; Risk theory; Dependence modelling; Capital allocation; Expectiles; Elicitability; Copulas; 2010 Mathematics Subject Classification: 62H05; 91B05; 91G05;
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