Multivariate skew-normal distributions with applications in insurance

被引：76
|
作者：
Vernic, R [1 ]
机构：
[1] Ovidius Univ Constanta, Fac Math & Comp Sci, Constanta, Romania
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2006年 / 38卷 / 02期
关键词：
multivariate skew-normal distribution; tail conditional expectation; capital allocation;
D O I：
10.1016/j.insmatheco.2005.11.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we discuss the skew-normal distribution as an alternative to the classical normal one in the context of both risk measurement and capital allocation. As main risk measure, we consider the tail conditional expectation (TCE). Hence, we investigate an allocation formula based on the TCE, but we also consider Wang's [Wang. S., 2002. A set of new methods and tools for enterprise risk capital management and portfolio optimization. Working paper. SCOR reinsurance company (http://www.casact.com/pubs/forum/02sforum/02sf043.pdf)] allocation formula. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：413 / 426
页数：14
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