TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830): Difference between revisions
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Revision as of 21:18, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts |
scientific article |
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TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (English)
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18 April 2012
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capital allocation
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tail value at risk
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dependence models
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multivariate compound distributions
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multivariate compound Poisson distributions
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mixed Erlang distribution
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