{"title":"Expectile-Based Capital Allocation","authors":"K. Said","doi":"10.28924/2291-8639-21-2023-79","DOIUrl":null,"url":null,"abstract":"This paper focuses on capital allocation using the Euler principle with Expectiles as risk measures. We delve into the allocation composition across various actuarial models, examining the influence of dependence through copulas, and studying the case of comonotonicity. Additionally, we provide expressions for marginal contributions related to some of the models under investigation.","PeriodicalId":45204,"journal":{"name":"International Journal of Analysis and Applications","volume":" ","pages":""},"PeriodicalIF":0.7000,"publicationDate":"2023-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Analysis and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.28924/2291-8639-21-2023-79","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 1
Abstract
This paper focuses on capital allocation using the Euler principle with Expectiles as risk measures. We delve into the allocation composition across various actuarial models, examining the influence of dependence through copulas, and studying the case of comonotonicity. Additionally, we provide expressions for marginal contributions related to some of the models under investigation.
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