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Capital Allocation for Sarmanov’s Class of Distributions

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Abstract

This paper is a follow-up of the study realized by Vernic (2014) on the aggregation of dependent random variables joined by Sarmanov’s multivariate distribution, with accent on the particular case of exponentially distributed marginals. More precisely, in this paper we present capital allocation formulas for a portfolio of risks following the just mentioned Sarmanov’s distribution. The overall capital and its allocation to the risk sources are evaluated using the TVaR rule. The resulting formulas are illustrated in some particular cases.

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Authors and Affiliations

  1. Faculty of Mathematics and Computer Science, Ovidius University of Constanta, 124 Mamaia Blvd., 900527, Constanta, Romania

    Raluca Vernic

  2. Institute for Mathematical Statistics and Applied Mathematics, Calea 13 Septembrie 13, 050711, Bucharest, Romania

    Raluca Vernic

Authors
  1. Raluca Vernic
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Correspondence to Raluca Vernic.

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Vernic, R. Capital Allocation for Sarmanov’s Class of Distributions. Methodol Comput Appl Probab 19, 311–330 (2017). https://doi.org/10.1007/s11009-016-9483-x

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  • DOI: https://doi.org/10.1007/s11009-016-9483-x

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