Risk Evaluation and Capital Allocation Based on TVaR and EVaR with Copula

• 作 者: Jinghai FENG Lixin SONG Zhinen
• 机 构: SchoolofMathematicalSciences
• 出 处: 数学研究及应用：英文版
• 发表日期: 2012年3期
• 关键词: 风险评估 COPULA 分配 资本 风险指数 风险值 组合和 保险 capital allocation tail value of risk exponent
• 基金项目: Supported by the National Natural Sciences Foundation of China （Grant No. 61175041）, the Funds of Doctoral Programme of China （Grant No. 2010041110036）, the Fundamental Research Funds for the Central

In this paper,the expressions of tail value of risk(TVaR)and exponential tail value of risk(EVaR)for the total risk portfolio are given,which are splitted into two cases: the bivariate case and the multivariate case according to the number of the insuranc