AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS

Saralees Nadarajah; Jeffrey Chu; Xiao Jiang

doi:10.1017/S0269964817000377

AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS

Saralees Nadarajah^*, Jeffrey Chu, Xiao Jiang

^*Corresponding author for this work

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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.

Original language	English
Pages (from-to)	1-11
Number of pages	11
Journal	Probability in the Engineering and Informational Sciences
Early online date	25 Sept 2017
DOIs	https://doi.org/10.1017/S0269964817000377
Publication status	Published - 2017

Keywords

closed form
risk
sum

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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.",

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AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS

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