\( \tau \)-value for risk capital allocation problems (Q2661559): Difference between revisions

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+QRM
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+https://doi.org/10.1016/j.orl.2020.09.003
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+W3086189845
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+An efficient approach to quantile capital allocation and sensitivity analysis
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@@ Property / cites work @@
+Properties of distortion risk measures
@@ Property / cites work: Properties of distortion risk measures / rank @@
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@@ Property / cites work @@
+A generalization of the Aumann-Shapley value for risk capital allocation problems
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@@ Property / cites work @@
+Capital allocation for portfolios with non-linear risk aggregation
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@@ Property / cites work @@
+Stable allocations of risk
@@ Property / cites work: Stable allocations of risk / rank @@
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@@ Property / cites work @@
+The \(\tau\)-value, the core and semiconvex games
@@ Property / cites work: The \(\tau\)-value, the core and semiconvex games / rank @@
+Normal rank
@@ Property / cites work @@
+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
@@ Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank @@
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+Q5706744
@@ Property / cites work: Q5706744 / rank @@
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+Q3921032
@@ Property / cites work: Q3921032 / rank @@
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@@ Property / cites work @@
+An axiomatization of the \(\tau\)-value
@@ Property / cites work: An axiomatization of the \(\tau\)-value / rank @@
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@@ Property / cites work @@
+Q3937173
@@ Property / cites work: Q3937173 / rank @@
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@@ Property / cites work @@
+Risk capital allocation and cooperative pricing of insurance liabilities.
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@@ Property / cites work @@
+Excess based allocation of risk capital
@@ Property / cites work: Excess based allocation of risk capital / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:2661559