Expectile-Based Capital Allocation

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DOI: https://doi.org/10.28924/2291-8639-21-2023-79
Published: Jul 27, 2023
Cite as:
Khalil Said, Expectile-Based Capital Allocation, Int. J. Anal. Appl., 21 (2023), 79.

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Khalil Said

Abstract

This paper focuses on capital allocation using the Euler principle with Expectiles as risk measures. We delve into the allocation composition across various actuarial models, examining the influence of dependence through copulas, and studying the case of comonotonicity. Additionally, we provide expressions for marginal contributions related to some of the models under investigation.

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