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- W3024149675 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. • We propose multivariate risk measures based on multivariate conditional expectations. • We work out explicit formulae of the multivariate risk measures for Exponential Dispersion Models. • We present numerical examples to illustrate the explicit formulae." @default.
- W3024149675 created "2020-05-21" @default.
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- W3024149675 date "2020-07-01" @default.
- W3024149675 modified "2023-09-29" @default.
- W3024149675 title "Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models" @default.
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- W3024149675 doi "https://doi.org/10.1016/j.insmatheco.2020.04.014" @default.
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