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• W2559699892 abstract "This paper studies a novel capital allocation framework based on Tail Mean-Variance (TMV) principle for multivariate risks. The new capital allocation model has many intriguing properties such as controlling the magnitude and variability of tail risks simultaneously. General formulas for optimal capital allocations are discussed according to the semi-deviation distance measure. In particular, we discuss the optimal capital allocation for comonotonic risks, and risks from multivariate elliptical distribution and multivariate skew-t distribution. Some numerical examples are given to illustrate the results, and a real data from an insurance company is analyzed as well." @default.
• W2559699892 created "2016-12-08" @default.
• W2559699892 creator A5009309112 @default.
• W2559699892 date "2016-01-01" @default.
• W2559699892 modified "2023-09-26" @default.
• W2559699892 title "TMV-based Capital Allocation for Multivariate Risks" @default.
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• W2559699892 hasPublicationYear "2016" @default.
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