Multivariate extensions of expectiles risk measures

Véronique Maume-Deschamps, Didier Rullière, and Khalil Said. "Multivariate extensions of expectiles risk measures." Dependence Modeling 5.1 (2017): 20-44. <http://eudml.org/doc/287996>.

@article{VéroniqueMaume2017,
abstract = {This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.},
author = {Véronique Maume-Deschamps, Didier Rullière, Khalil Said},
journal = {Dependence Modeling},
keywords = {Multivariate risk measures; Solvency 2; Risk management; Risk theory; Dependence modeling; Capital allocation; Multivariate expectiles; Elicitability; Coherence properties; Stochastic approximation; Copulas; multivariate risk measures; solvency 2; risk management; risk theory; dependence modeling; capital allocation; multivariate expectiles; elicitability; coherence properties; stochastic approximation; copulas},
language = {eng},
number = {1},
pages = {20-44},
title = {Multivariate extensions of expectiles risk measures},
url = {http://eudml.org/doc/287996},
volume = {5},
year = {2017},
}

TY - JOUR
AU - Véronique Maume-Deschamps
AU - Didier Rullière
AU - Khalil Said
TI - Multivariate extensions of expectiles risk measures
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 20
EP - 44
AB - This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures. We discuss the coherence properties of these multivariate expectiles. Furthermore, we propose a stochastic approximation tool of these risk measures.
LA - eng
KW - Multivariate risk measures; Solvency 2; Risk management; Risk theory; Dependence modeling; Capital allocation; Multivariate expectiles; Elicitability; Coherence properties; Stochastic approximation; Copulas; multivariate risk measures; solvency 2; risk management; risk theory; dependence modeling; capital allocation; multivariate expectiles; elicitability; coherence properties; stochastic approximation; copulas
UR - http://eudml.org/doc/287996
ER -