Tail conditional expectation for multivariate distributions : a game theory approach
Data(s) |
01/10/2013
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Resumo |
This paper proposes using the Shapley values in allocating the total tail conditional expectation (TCE) to each business line (X j, j = 1, ... , n) when there are n correlated business lines. The joint distributions of X j and S (S = X1 + X2 + ⋯ + X n) are needed in the existing methods, but they are not required in the proposed method. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30084883/hosseinifard-tailconditional-2013.pdf http://www.dx.doi.org/10.1016/j.spl.2013.06.012 |
Direitos |
2013, Elsevier B.V. |
Palavras-Chave | #Science & Technology #Physical Sciences #Statistics & Probability #Mathematics #Tail conditional expectation #Shapley values #Coherent risk #Multivariate distributions #RISK #DECOMPOSITION #MODELS |
Tipo |
Journal Article |