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Vector-valued tail value-at-risk and capital allocation. (English) Zbl 1349.91319

Summary: Enterprise risk management, actuarial science or finance are practice areas in which risk measures are important to evaluate for heterogeneous classes of homogeneous risks. We present new measures: bivariate lower and upper orthant Tail Value-at-Risk. They are based on bivariate lower and upper orthant Value-at-Risk, introduced in [H. Cossette et al., Insur. Math. Econ. 50, No. 2, 247–256 (2012; Zbl 1235.91086)]. Many properties and applications are derived. Notably, they are shown to be positive homogeneous, invariant under translation and subadditive in distribution. Capital allocation criteria are suggested. Moreover, results on the sum of random pairs are presented, allowing to use a more accurate model for dependent classes of homogeneous risks.

MSC:

91G70 Statistical methods; risk measures
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)

Citations:

Zbl 1235.91086
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