Haezendonck-Goovaerts capital allocation rules (Q2665852): Difference between revisions

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+Coherent Measures of Risk
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+An efficient approach to quantile capital allocation and sensitivity analysis
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+Generalized quantiles as risk measures
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+Robust return risk measures
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+Haezendonck-Goovaerts risk measures and Orlicz quantiles
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+Capital allocation rules and acceptance sets
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+Capital allocation à la Aumann-Shapley for non-differentiable risk measures
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+Uncertainty averse preferences
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+Ambiguity through confidence functions
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+Q4451073
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+Q4550909
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+Maxmin expected utility with non-unique prior
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+Some new classes of consistent risk measures
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+A new premium calculation principle based on Orlicz norms
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
@@ Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank @@
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+Systemic risk measures on general measurable spaces
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+Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
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+Q4518931
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+Q4000065
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+To split or not to split: Capital allocation with convex risk measures
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+A generalization of expected shortfall based capital allocation
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