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AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS

Published online by Cambridge University Press:  25 September 2017

Saralees Nadarajah ,
Jeffrey Chu  and
Xiao Jiang
Saralees Nadarajah
Affiliation:
University of Manchester, Manchester M13 9PL, UK E-mail: mbbsssn2@manchester.ac.uk
Jeffrey Chu
Affiliation:
University of Manchester, Manchester M13 9PL, UK E-mail: mbbsssn2@manchester.ac.uk
Xiao Jiang
Affiliation:
University of Manchester, Manchester M13 9PL, UK E-mail: mbbsssn2@manchester.ac.uk
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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.

Keywords

closed formrisksum
Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 32 , Issue 4 , October 2018 , pp. 556 - 566
Copyright
Copyright © Cambridge University Press 2017 

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