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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.
    2. Cossette, Hélène & Marceau, Etienne & Perreault, Samuel, 2015. "On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 214-224.
    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.
    6. Fabio Bellini & Elena Di Bernardino, 2017. "Risk management with expectiles," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 487-506, May.
    7. Susanne Emmer & Marie Kratz & Dirk Tasche, 2013. "What is the best risk measure in practice? A comparison of standard measures," Papers 1312.1645, arXiv.org, revised Apr 2015.
    8. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
    9. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
    10. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Multivariate extensions of expectiles risk measures," Post-Print hal-01478930, HAL.
    11. 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.
    12. 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.
    13. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
    14. Fabio Bellini & Valeria Bignozzi, 2015. "On elicitable risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 725-733, May.
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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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