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On some properties of two vector-valued var and cte multivariate risk measures for archimedean copulas
Recurso electrónico / electronic resource
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Tag12Value
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001  MAP20140046058
003  MAP
005  20141209164425.0
008  141205e20140901esp|||p |0|||b|spa d
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084  ‎$a‎​6
100  ‎$0‎​MAPA20100048627‎$a‎​Hürlimann, Werner ‌
24510‎$a‎​On some properties of two vector-valued var and cte multivariate risk measures for archimedean copulas‎$c‎​Werner Hürlimann
520  ‎$a‎​We consider the multivariate Value-at-Risk (VaR) and Conditional-Tail-Expectation (CTE) risk measures introduced in Cousin and Di Bernardino (Cousin, A. and Di Bernardino, E. (2013) Journal of Multivariate Analysis, 119, 3246; Cousin, A. and Di Bernardino, E. (2014) Insurance: Mathematics and Economics, 55(C), 272282). For absolutely continuous Archimedean copulas, we derive integral formulas for the multivariate VaR and CTE Archimedean risk measures. We show that each component of the multivariate VaR and CTE functional vectors is an integral transform of the corresponding univariate VaR measures. For the class of Archimedean copulas, the marginal components of the CTE vector satisfy the following properties: positive homogeneity (PH), translation invariance (TI), monotonicity (MO), safety loading (SL) and VaR inequality (VIA). In case marginal risks satisfy the subadditivity (MSA) property, the marginal CTE components are also sub-additive and hitherto coherent risk measures in the usual sense. Moreover, the increasing risk (IR) or stop-loss order preserving property of the marginal CTE components holds for the class of bivariate Archimedean copulas. A counterexample to the (IR) property for the trivariate Clayton copula is included.
7730 ‎$w‎​MAP20077000420‎$t‎​Astin bulletin‎$d‎​Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎​0515-0361‎$g‎​01/09/2014 Volumen 44 Número 3 - septiembre 2014