Some results on the CTE-based capital allocation rule (Q998305): Difference between revisions

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+W3126021673
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+Q3661894
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+A multivariate Linnik distribution
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+Conditional tail expectations for multivariate phase-type distributions
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+Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
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+The concept of comonotonicity in actuarial science and finance: theory.
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+The concept of comonotonicity in actuarial science and finance: applications.
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+Q4962327
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+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / rank @@
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+Q3996150
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+Risk capital decomposition for a multivariate dependent gamma portfolio
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+Multivariate Tweedie distributions and some related capital-at-risk analyses
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+Upper and lower bounds for sums of random variables
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+On the generalization of Stein's lemma for elliptical class of distributions
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+Stochastic ordering of bivariate elliptical distributions
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+Tail Conditional Expectations for Elliptical Distributions
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+Risk measurement in the presence of background risk
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+Optimal approximations for risk measures of sums of lognormals based on conditional expectations
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+Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
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