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Dergiler / Hacettepe Journal of Mathematics and Statistics / 2017 / Cilt: 46 - Sayı: 3

Optimal capital allocation with copulas

Zou WEİ
Xie JİE-HUA
Sayfa
449–468
Yayın Tarihi
2022-10-18
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Finally, the results are illustrated by various numerical examples.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In this paper, we investigate optimal capital allocation problems for a portfolio consisting of different lines of risks linked by a Farlie-Gumbel-Morgenstern copula, modelling the dependence between them.
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Temel Bulgular & Veri:Based on the Tail Mean-Variance principle, we examine the bivariate case and then the multivariate case.
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Sonuç & Katkı:Finally, the results are illustrated by various numerical examples.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Optimal Capital allocation · Tail Mean-Variance · Copula

Abstract

In this paper, we investigate optimal capital allocation problems for a portfolio consisting of different lines of risks linked by a Farlie-Gumbel-Morgenstern copula, modelling the dependence between them. Based on the Tail Mean-Variance principle, we examine the bivariate case and then the multivariate case. Explicit formulae for optimal capital allocations are obtained for exponential loss distributions. Finally, the results are illustrated by various numerical examples.

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Bu Makaleye Atıf Yap

WEİ, Z., JİE-HUA, X. (2022). Optimal capital allocation with copulas. Hacettepe Journal of Mathematics and Statistics, Cilt: 46 - Sayı: 3, 449–468. https://ajindex.com/articles/529926

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Kaynakça (16)

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