Impact of Dependence on Some Multivariate Risk Indicators |
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Authors: | Véronique Maume-Deschamps Didier Rullière Khalil Said |
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Institution: | 1.CNRS UMR 5208, Institut Camille Jordan,Université de Lyon, Université Claude Bernard Lyon 1,Villeurbanne cedex,France;2.Laboratoire SAF EA 2429,Université de Lyon, Université Lyon 1,Lyon,France;3.Laboratoires SAF EA 2429 & COACTIS EA 4161,Université de Lyon, Université Lyon 2,Lyon,France |
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Abstract: | The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac et al. (Stat Risk Model 29(1):47–71, 2012). The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In Maume-Deschamps et al. (2015), it is proved that the proposed allocation technique satisfies a set of coherence axioms. In the present one, we study the properties and asymptotic behavior of the allocation for some distribution models. We also analyze the impact of the dependence structure on the allocation using some copulas. |
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