TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830): Difference between revisions

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Latest revision as of 02:42, 5 July 2024

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TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
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    TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (English)
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    18 April 2012
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    capital allocation
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    tail value at risk
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    dependence models
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    multivariate compound distributions
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    multivariate compound Poisson distributions
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    mixed Erlang distribution
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