An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (Q1742712)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation method for risk aggregations and capital allocation rules based on additive risk factor models |
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An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (English)
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12 April 2018
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risk aggregation
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convex lower bound
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capital allocation
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approximation
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generalized gamma distribution
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