TY - JOUR
T1 - Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
AU - Shushi, Tomer
AU - Yao, Jing
N1 - Funding Information:
Tomer Shushi acknowledges the support by the Israel Science Foundation (Grant No. 1686/17 ). Jing Yao acknowledges the support by National Natural Science Foundation of China (No. 11971506 ). The authors are grateful for reviewers’ constructive comments and editor’s inspiring encouragement that helped them to improve their work to a significant extent.
Publisher Copyright:
© 2020 Elsevier B.V.
PY - 2020/7/1
Y1 - 2020/7/1
N2 - Exponential dispersion models are well used and studied in quantitative risk management and actuarial science. One of the main interests is the risk measurement analysis of such models when facing extreme loss events. In this paper, we propose two multivariate risk measures based on conditional expectation and derive the explicit formulae for exponential dispersion models. In particular, our multivariate risk measures could facilitate a systemic risk measure with explicit expressions for exponential dispersion models subject to any pre-specified “systemic event.” We provide two numerical examples based on practical data to show the advantages of our approach in the context of exponential dispersion models.
AB - Exponential dispersion models are well used and studied in quantitative risk management and actuarial science. One of the main interests is the risk measurement analysis of such models when facing extreme loss events. In this paper, we propose two multivariate risk measures based on conditional expectation and derive the explicit formulae for exponential dispersion models. In particular, our multivariate risk measures could facilitate a systemic risk measure with explicit expressions for exponential dispersion models subject to any pre-specified “systemic event.” We provide two numerical examples based on practical data to show the advantages of our approach in the context of exponential dispersion models.
KW - Capital allocation
KW - Conditional expectation
KW - Exponential dispersion models
KW - Multivariate risk measures
KW - Systemic risks
UR - http://www.scopus.com/inward/record.url?scp=85084748123&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2020.04.014
DO - 10.1016/j.insmatheco.2020.04.014
M3 - Article
AN - SCOPUS:85084748123
SN - 0167-6687
VL - 93
SP - 178
EP - 186
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -