TY  - JOUR
N1  - Copyright © 2015 Elsevier B.V. All rights reserved.
EP  -  226
VL  - 61
AV  - public
SP  - 206 
Y1  - 2015/03/01/
TI  - Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
KW  - Risk management; Capital allocation; Sequential Monte Carlo (SMC); Copula models; Euler allocation.
A1  - Targino, RS
A1  - Peters, GW
A1  - Shevchenko, PV
JF  - Insurance: Mathematics and Economics
SN  - 0167-6687
UR  - http://dx.doi.org/10.1016/j.insmatheco.2015.01.007
ID  - discovery1460851
N2  - In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation conditional to a rare event, which can be challenging to evaluate in practice. We exploit the copula-dependence within the portfolio risks to design a Sequential Monte Carlo Samplers based estimate to the marginal conditional expectations involved in the problem, showing its efficiency through a series of computational examples.
ER  -