| Risk Evaluation and Capital Allocation Based on TVaR and EVaR with Copula |
| Received:November 01, 2010 Revised:January 13, 2011 |
| Key Words:
capital allocation tail value of risk exponential tail value of risk copula.
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| Fund Project:Supported by the National Natural Sciences Foundation of China (Grant No.61175041), the Funds of Doctoral Programme of China (Grant No.2010041110036), the Fundamental Research Funds for the Central Universities (Grant Nos.DUT12LK16; DUT12LK29) and the Funds for Frontier Interdisciplines of DUT (Grant Nos.DUT12JS05; DUT10JS06). |
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| Abstract: |
| In this paper, the expressions of tail value of risk (TVaR) and exponential tail value of risk (EVaR) for the total risk portfolio are given, which are splitted into two cases: the bivariate case and the multivariate case according to the number of the insurances. Then the risk contributions of the insurances portfolio and the credit portfolio are also obtained. Further more, for clarifying the above results, a numerical example is given. |
| Citation: |
| DOI:10.3770/j.issn:2095-2651.2012.03.010 |
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