Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/127273| Title: | Forecasting compositional risk allocations |
| Author: | Boonen, Tim J. Guillén, Montserrat Santolino, Miguel |
| Keywords: | Risc (Economia) Assignació d'actius Anàlisi de dades de panel Risk Asset allocation Panel analysis |
| Issue Date: | Jan-2019 |
| Publisher: | Elsevier B.V. |
| Abstract: | We 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. |
| Note: | Versió postprint del document publicat a: https://doi.org/10.1016/j.insmatheco.2018.10.002 |
| It is part of: | Insurance Mathematics and Economics, 2019, vol. 84, num. January, p. 79-86 |
| URI: | http://hdl.handle.net/2445/127273 |
| Related resource: | https://doi.org/10.1016/j.insmatheco.2018.10.002 |
| ISSN: | 0167-6687 |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 682613.pdf | 445.92 kB | Adobe PDF | View/Open |
This item is licensed under a
Creative Commons License
