Artikel
Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk: The multivariate Pareto-II model
Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive model for multi-losses whose dependence and tail heaviness are influenced by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail value at risk. We derive formulas that are either of closed form or follow well-defined recursive procedures. In either case, their computational use is straightforward.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 1 ; Year: 2013 ; Issue: 1 ; Pages: 14-33 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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distortion risk measure
weighted premium
weighted allocation
tail value at risk
conditional tail expectation
multivariate Pareto distribution
- Event
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Geistige Schöpfung
- (who)
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Asimit, Alexandru V.
Vernic, Raluca
Zitikis, Riçcardas
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2013
- DOI
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doi:10.3390/risks1010014
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Asimit, Alexandru V.
- Vernic, Raluca
- Zitikis, Riçcardas
- MDPI
Time of origin
- 2013
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