To split or not to split: Capital allocation with convex risk measures (Q1017768): Difference between revisions

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-.1016/j.insmatheco.2008.03.007
@@ Property / DOI: 10.1016/j.insmatheco.2008.03.007 / rank @@
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+W3123372851
@@ Property / OpenAlex ID: W3123372851 / 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 @@
+Cooperative Fuzzy Games
@@ Property / cites work: Cooperative Fuzzy Games / rank @@
+Normal rank
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+Values of Non-Atomic Games
@@ Property / cites work: Values of Non-Atomic Games / rank @@
+Normal rank
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+Inf-convolution of risk measures and optimal risk transfer
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+Allocation of Shared Costs: A Set of Axioms Yielding A Unique Procedure
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+Coherent risk measures, coherent capital allocations and the gradient allocation principle
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+Q5609896
@@ Property / cites work: Q5609896 / rank @@
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+Core of convex distortions of a probability.
@@ Property / cites work: Core of convex distortions of a probability. / rank @@
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+Non-additive measure and integral
@@ Property / cites work: Non-additive measure and integral / rank @@
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+Risk measurement with equivalent utility principles
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@@ Property / cites work @@
+On convex principles of premium calculation
@@ Property / cites work: On convex principles of premium calculation / rank @@
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@@ Property / cites work @@
+Conditional and dynamic convex risk measures
@@ Property / cites work: Conditional and dynamic convex risk measures / rank @@
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+The concept of comonotonicity in actuarial science and finance: theory.
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@@ Property / cites work @@
+OPTIMAL NUMERAIRES FOR RISK MEASURES
@@ Property / cites work: OPTIMAL NUMERAIRES FOR RISK MEASURES / rank @@
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+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
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+Author Reply: An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets by Zinoviy Landsman and Michael Sherris - Discussion by Edward Furman; Ricardas Zitikis
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+On the representation of additive principles of premium calculation
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@@ Property / cites work @@
+Q3314810
@@ Property / cites work: Q3314810 / rank @@
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@@ Property / cites work @@
+OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
@@ Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank @@
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+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
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+A characterization of the core of convex games through Gâteaux derivatives
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@@ Property / cites work @@
+Demand Compatible Equitable Cost Sharing Prices
@@ Property / cites work: Demand Compatible Equitable Cost Sharing Prices / rank @@
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+Q2778807
@@ Property / cites work: Q2778807 / rank @@
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+The Nucleolus of a Characteristic Function Game
@@ Property / cites work: The Nucleolus of a Characteristic Function Game / rank @@
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+Risk capital allocation and cooperative pricing of insurance liabilities.
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@@ Property / DOI @@
+.1016/J.INSMATHECO.2008.03.007
@@ Property / DOI: 10.1016/J.INSMATHECO.2008.03.007 / rank @@
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