Tail conditional expectation for multivariate distributions: A game theory approach

被引：6

作者：

Abbasi, Babak ^{[1
]}

Hosseinifard, S. Zahra ^{[1
]}

机构：

[1] RMIT Univ, Sch Math & Geospatial Sci, Melbourne, Vic 3001, Australia

来源：

STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 10期

关键词：

Tail conditional expectation; Shapley values; Coherent risk; Multivariate distributions; RISK; DECOMPOSITION; MODELS;

D O I：

10.1016/j.spl.2013.06.012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper proposes using the Shapley values in allocating the total tail conditional expectation (TCE) to each business line (X-j, j = 1,..., n) when there are n correlated business lines. The joint distributions of X-j and S (S = X-1 + X-2 ... + X-n) are needed in the existing methods, but they are not required in the proposed method. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：2228 / 2235

页数：8

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