eprintid: 1460851
rev_number: 52
eprint_status: archive
userid: 608
dir: disk0/01/46/08/51
datestamp: 2015-05-27 10:57:38
lastmod: 2021-11-08 00:02:00
status_changed: 2015-05-27 10:57:38
type: article
metadata_visibility: show
item_issues_count: 0
creators_name: Targino, RS
creators_name: Peters, GW
creators_name: Shevchenko, PV
title: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
ispublished: pub
divisions: UCL
divisions: B04
divisions: C06
divisions: F61
keywords: Risk management; Capital allocation; Sequential Monte Carlo (SMC); Copula models; Euler allocation.
note: Copyright © 2015 Elsevier B.V. All rights reserved.
abstract: 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.
date: 2015-03-01
official_url: http://dx.doi.org/10.1016/j.insmatheco.2015.01.007
vfaculties: VMPS
oa_status: green
full_text_type: other
primo: open
primo_central: open_green
verified: verified_manual
elements_source: Scopus
elements_id: 1009284
doi: 10.1016/j.insmatheco.2015.01.007
lyricists_name: Dos Santos Targino, Rodrigo
lyricists_name: Peters, Gareth
lyricists_id: TARGI65
lyricists_id: GWPET42
full_text_status: public
publication: Insurance: Mathematics and Economics
volume: 61
pagerange: 206 - 226
issn: 0167-6687
citation:        Targino, RS;    Peters, GW;    Shevchenko, PV;      (2015)    Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models.                   Insurance: Mathematics and Economics , 61    206 - 226.    10.1016/j.insmatheco.2015.01.007 <https://doi.org/10.1016/j.insmatheco.2015.01.007>.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/1460851/3/Targino.CapitalAllocation.pdf