An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (Q1742712): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q3661894 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A generalized gamma distribution and its application in reliabilty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lifetime dependence modelling using a truncated multivariate gamma distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: The generalized method of moments as applied to the generalized gamma distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Overview of Comonotonicity and Its Applications in Finance and Insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection / rank
 
Normal rank
Property / cites work
 
Property / cites work: The concept of comonotonicity in actuarial science and finance: theory. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The concept of comonotonicity in actuarial science and finance: applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some results on the CTE-based capital allocation rule / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Measures and Comonotonicity: A Review / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3158278 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a multivariate gamma distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weighted risk capital allocations in the presence of systematic risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk capital decomposition for a multivariate dependent gamma portfolio / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weighted risk capital allocations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Power transformations of gamma variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4315010 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail Conditional Expectations for Elliptical Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a multivariate gamma / rank
 
Normal rank
Property / cites work
 
Property / cites work: A form of multivariate gamma distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: A review of results on sums of random variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4518931 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The value of an Asian option / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Generalization of the Gamma Distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal approximations for risk measures of sums of lognormals based on conditional expectations / rank
 
Normal rank

Latest revision as of 11:48, 15 July 2024

scientific article
Language Label Description Also known as
English
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
scientific article

    Statements

    An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (English)
    0 references
    0 references
    0 references
    0 references
    12 April 2018
    0 references
    0 references
    risk aggregation
    0 references
    convex lower bound
    0 references
    capital allocation
    0 references
    approximation
    0 references
    generalized gamma distribution
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references