Article ID Journal Published Year Pages File Type
5076956 Insurance: Mathematics and Economics 2012 10 Pages PDF
Abstract
► We use a multivariate compound distribution to model a portfolio of n risks. ► The total capital is equal to the TVaR of the sum of the n risks. ► We use a TVaR based approach to find the part allocated to each risk. ► For special cases, analytic expressions are found for the TVaR and for each part. ► Special cases: multivariate compound Poisson and mixed Erlang claims.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
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