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ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS

Published online by Cambridge University Press:  16 June 2014

Werner Hürlimann
Werner Hürlimann*
Affiliation:
Wolters Kluwer Financial Services Switzerland AG, CH-8008 Zürich, Switzerland E-mail: whurlimann@bluewin.ch
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Abstract

We consider the multivariate Value-at-Risk (VaR) and Conditional-Tail-Expectation (CTE) risk measures introduced in Cousin and Di Bernardino (Cousin, A. and Di Bernardino, E. (2013) Journal of Multivariate Analysis, 119, 32–46; Cousin, A. and Di Bernardino, E. (2014) Insurance: Mathematics and Economics, 55(C), 272–282). For absolutely continuous Archimedean copulas, we derive integral formulas for the multivariate VaR and CTE Archimedean risk measures. We show that each component of the multivariate VaR and CTE functional vectors is an integral transform of the corresponding univariate VaR measures. For the class of Archimedean copulas, the marginal components of the CTE vector satisfy the following properties: positive homogeneity (PH), translation invariance (TI), monotonicity (MO), safety loading (SL) and VaR inequality (VIA). In case marginal risks satisfy the subadditivity (MSA) property, the marginal CTE components are also sub-additive and hitherto coherent risk measures in the usual sense. Moreover, the increasing risk (IR) or stop-loss order preserving property of the marginal CTE components holds for the class of bivariate Archimedean copulas. A counterexample to the (IR) property for the trivariate Clayton copula is included.

Keywords

multivariate riskcoherent risk measureincreasing riskArchimedean copulaKendall's process
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 44 , Issue 3 , September 2014 , pp. 613 - 633
Copyright
Copyright © ASTIN Bulletin 2014 

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