Some remarks on capital allocation by percentile layer

DOI10.1007/s13385-013-0075-7zbMath1304.91112OpenAlexW2084071899MaRDI QIDQ487573

Liang Hong

Publication date: 22 January 2015

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-013-0075-7

zbMATH Keywords

capital allocationCoVaRalternative CoVaRCoTVaRpercentile layerVaR-dependence

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• An optimization approach to the dynamic allocation of economic capital
• The concept of comonotonicity in actuarial science and finance: theory.
• Risk Measures and Comonotonicity: A Review
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Economic Capital Allocation Derived from Risk Measures
• Capital Allocation Survey with Commentary

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