On a capital allocation by minimization of some risk indicators (Q303736): Difference between revisions

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+Véronique Maume-Deschamps
@@ Property / author: Véronique Maume-Deschamps / rank @@
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+Didier Rullière
@@ Property / author: Didier Rullière / rank @@
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@@ Property / author @@
+Khalil Said
@@ Property / author: Khalil Said / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s13385-016-0123-1
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@@ Property / OpenAlex ID @@
+W2285814184
@@ Property / OpenAlex ID: W2285814184 / rank @@
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+An axiomatic characterization of capital allocations of coherent risk measures
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@@ Property / cites work @@
+On elicitable risk measures
@@ Property / cites work: On elicitable risk measures / rank @@
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@@ Property / cites work @@
+Equilibrium in a Reinsurance Market
@@ Property / cites work: Equilibrium in a Reinsurance Market / rank @@
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@@ Property / cites work @@
+Coherent risk measures, coherent capital allocations and the gradient allocation principle
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@@ Property / cites work @@
+Dependence properties and bounds for ruin probabilities in multivariate compound risk models
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@@ Property / cites work @@
+Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm
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@@ Property / cites work @@
+Risk capital allocation by coherent risk measures based on one-sided moments.
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@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
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+Q5810228
@@ Property / cites work: Q5810228 / rank @@
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+Making and Evaluating Point Forecasts
@@ Property / cites work: Making and Evaluating Point Forecasts / rank @@
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@@ Property / cites work @@
+Duality for Set-Valued Measures of Risk
@@ Property / cites work: Duality for Set-Valued Measures of Risk / rank @@
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@@ Property / cites work @@
+Vector-valued coherent risk measures
@@ Property / cites work: Vector-valued coherent risk measures / rank @@
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@@ Property / cites work @@
+Impact of dependence on some multivariate risk indicators
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@@ Property / cites work @@
+Q4301147
@@ Property / cites work: Q4301147 / rank @@
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