GlueVaR risk measures in capital allocation applications (Q2513627): Difference between revisions

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+W1971221384
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+Asymptotics for risk capital allocations based on conditional tail expectation
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+Properties of distortion risk measures
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+Indicators for the characterization of discrete Choquet integrals
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+Skewed bivariate models and nonparametric estimation for the CTE risk measure
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+Some new notions of dependence with applications in optimal allocation problems
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+Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
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+TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
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+Non-additive measure and integral
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+Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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+To split or not to split: Capital allocation with convex risk measures
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+Excess based allocation of risk capital
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+Insurance pricing and increased limits ratemaking by proportional hazards transforms
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+Comonotonicity, correlation order and premium principles
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+Stochastic comparisons of capital allocations with applications
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+Optimal capital allocation based on the tail mean-variance model
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