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Forecasting compositional risk allocations

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dc.contributor.authorBoonen, Tim J.
dc.contributor.authorGuillén, Montserrat
dc.contributor.authorSantolino, Miguel
dc.date.accessioned2019-01-15T12:43:47Z
dc.date.available2022-01-31T06:10:17Z
dc.date.issued2019-01
dc.date.updated2019-01-15T12:43:47Z
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.format.extent8 p.
dc.format.mimetypeapplication/pdf
dc.identifier.idgrec682613
dc.identifier.issn0167-6687
dc.identifier.urihttps://hdl.handle.net/2445/127273
dc.language.isoeng
dc.publisherElsevier B.V.
dc.relation.isformatofVersió postprint del document publicat a: https://doi.org/10.1016/j.insmatheco.2018.10.002
dc.relation.ispartofInsurance Mathematics and Economics, 2019, vol. 84, num. January, p. 79-86
dc.relation.urihttps://doi.org/10.1016/j.insmatheco.2018.10.002
dc.rightscc-by-nc-nd (c) Elsevier B.V., 2019
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject.classificationRisc (Economia)
dc.subject.classificationAssignació d'actius
dc.subject.classificationAnàlisi de dades de panel
dc.subject.otherRisk
dc.subject.otherAsset allocation
dc.subject.otherPanel analysis
dc.titleForecasting compositional risk allocations
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/acceptedVersion

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