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AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS

Published online by Cambridge University Press:  25 September 2017

Saralees Nadarajah
Affiliation:
University of Manchester, Manchester M13 9PL, UK E-mail: [email protected]
Jeffrey Chu
Affiliation:
University of Manchester, Manchester M13 9PL, UK E-mail: [email protected]
Xiao Jiang
Affiliation:
University of Manchester, Manchester M13 9PL, UK E-mail: [email protected]

Abstract

Cossette, Marceau, and Perreault derived formulas for aggregation and capital allocation based on risks following two bivariate exponential distributions. Here, we derive formulas for aggregation and capital allocation for 18 mostly commonly known families of bivariate distributions. This collection of formulas could be a useful reference for financial risk management.

Type
Research Article
Copyright
Copyright © Cambridge University Press 2017 

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