34 citations · 37 across the 3 of their papers we have counts for
4 papers
Asymptotic multivariate expectiles
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multiva…
Multivariate extensions of expectiles risk measures
Véronique Maume-Deschamps, Didier Rullière, Khalil Saïd
This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. W…
Impact of dependence on some multivariate risk indicators
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac et al. [6]. The aim of capital allocation is to choose a point in a…
A risk management approach to capital allocation
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach o…