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Article: Forecasting compositional risk allocations

TitleForecasting compositional risk allocations
Authors
KeywordsAitchison geometry
Capital allocation
Dynamic risk management
Isometric logratio
Simplex
Issue Date2019
Citation
Insurance: Mathematics and Economics, 2019, v. 84, p. 79-86 How to Cite?
AbstractWe analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of an aggregate risk value. We focus on the modelling and forecasting of proportional contributions to risk over time. Compositional data methods are proposed and the time-series regression is flexible to incorporate external information from other variables. We guarantee that projected proportional contributions add up to 100%, and we introduce a method to generate confidence regions with the same restriction. An illustration is provided for risk capital allocations.
Persistent Identifierhttp://hdl.handle.net/10722/328752
ISSN
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorBoonen, Tim J.-
dc.contributor.authorGuillen, Montserrat-
dc.contributor.authorSantolino, Miguel-
dc.date.accessioned2023-07-22T06:23:38Z-
dc.date.available2023-07-22T06:23:38Z-
dc.date.issued2019-
dc.identifier.citationInsurance: Mathematics and Economics, 2019, v. 84, p. 79-86-
dc.identifier.issn0167-6687-
dc.identifier.urihttp://hdl.handle.net/10722/328752-
dc.description.abstractWe analyse models for panel data that arise in risk allocation problems, when a given set of sources are the cause of an aggregate risk value. We focus on the modelling and forecasting of proportional contributions to risk over time. Compositional data methods are proposed and the time-series regression is flexible to incorporate external information from other variables. We guarantee that projected proportional contributions add up to 100%, and we introduce a method to generate confidence regions with the same restriction. An illustration is provided for risk capital allocations.-
dc.languageeng-
dc.relation.ispartofInsurance: Mathematics and Economics-
dc.subjectAitchison geometry-
dc.subjectCapital allocation-
dc.subjectDynamic risk management-
dc.subjectIsometric logratio-
dc.subjectSimplex-
dc.titleForecasting compositional risk allocations-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2018.10.002-
dc.identifier.scopuseid_2-s2.0-85055756576-
dc.identifier.volume84-
dc.identifier.spage79-
dc.identifier.epage86-
dc.identifier.isiWOS:000456756100006-

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