Forecasting compositional risk allocations (Q1757613): Difference between revisions

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+Compositional data analysis: Where are we and where should we be heading?
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+Q4769776
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+Asymptotics for risk capital allocations based on conditional tail expectation
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+On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
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+Analyzing Compositional Data with R
@@ Property / cites work: Analyzing Compositional Data with R / rank @@
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+Capital allocation for portfolios with non-linear risk aggregation
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+TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
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+Isometric logratio transformations for compositional data analysis
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+Weighted risk capital allocations
@@ Property / cites work: Weighted risk capital allocations / rank @@
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+Valuation of large variable annuity portfolios under nested simulation: a functional data approach
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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+Modeling Compositional Time Series with Vector Autoregressive Models
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+Estimating the dimension of a model
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+Discriminant analysis for compositional data and robust parameter estimation
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+Dynamic capital allocation with distortion risk measures
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+To split or not to split: Capital allocation with convex risk measures
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+Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
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+Optimal capital allocation in a hierarchical corporate structure
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+Q129043451
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