TVaR-based capital allocation with copulas (Q659153): Difference between revisions

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+Coherent Measures of Risk
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+Matrix‐analytic Models and their Analysis
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+Stochastic orders and risk measures: consistency and bounds
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+Conditional tail expectations for multivariate phase-type distributions
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+Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
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+Some results on the CTE-based capital allocation rule
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+Risk capital decomposition for a multivariate dependent gamma portfolio
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+Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
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+Loss Models
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+Tail Conditional Expectations for Elliptical Distributions
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+Stochastic Comparison of Random Vectors with a Common Copula
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+Q2778807
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+An introduction to copulas.
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+Two servers in series, studied in terms of a Markov renewal branching process
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+Claim dependence with common effects in credibility models
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