6533b862fe1ef96bd12c746b
RESEARCH PRODUCT
Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation
Peggy CénacStéphane LoiselVéronique Maume-deschampsClémentine Prieursubject
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]capital allocation[ QFIN.RM ] Quantitative Finance [q-fin]/Risk Management [q-fin.RM][MATH.MATH-PR] Mathematics [math]/Probability [math.PR]risk indicatorsdependent lines of businesscapital allocationdependent lines of businessrisk indicators; dependent lines of business; capital allocation[QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM][QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]risk indicators[ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR]description
International audience; In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative. Explicit formulas in the case of two branches are obtained for several models independent exponential, correlated Pareto). The asymptotic behavior (as the initial capital goes to infinity) is studied. For higher dimension and several periods, no explicit expression is available. Using a stochastic algorithm, we get estimations of the allocation, compare the different allocations and study the impact of dependence.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2013-04-15 |