34 citations · 37 across the 3 of their papers we have counts for
Showing q-fin.RMShow all
2 papers · 1 filter
q-fin.RM2017★ 1 cited
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…
q-fin.RM2015★ 2 cited
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…