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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… Click to show full 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.
Keywords:
allocation copulas;
capital allocation;
capital;
optimal capital
Journal Title: Hacettepe Journal of Mathematics and Statistics
Year Published: 2017
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Journal Title: Hacettepe Journal of Mathematics and Statistics
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!