Pages that link to "Item:Q1423336"
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The following pages link to Wang's capital allocation formula for elliptically contoured distributions. (Q1423336):
Displayed 34 items.
- Asymptotics for risk capital allocations based on conditional tail expectation (Q654806) (← links)
- Extremes of asymptotically spherical and elliptical random vectors (Q882854) (← links)
- Weighted risk capital allocations (Q974815) (← links)
- Goodness-of-fit test for tail copulas modeled by elliptical copulas (Q1012111) (← links)
- A capital allocation based on a solvency exchange option (Q1023096) (← links)
- Stein's lemma for truncated elliptical random vectors (Q1640970) (← links)
- CMPH: a multivariate phase-type aggregate loss distribution (Q1648668) (← links)
- Properties and comparison of risk capital allocation methods (Q1751856) (← links)
- Optimal capital allocation based on the tail mean-variance model (Q2015620) (← links)
- On nonparametric tests of multivariate meta-ellipticity (Q2062382) (← links)
- Tail distortion risk measure for portfolio with multivariate regularly variation (Q2141740) (← links)
- Multivariate matrix-exponential affine mixtures and their applications in risk theory (Q2172057) (← links)
- Detecting departures from meta-ellipticity for multivariate stationary time series (Q2236384) (← links)
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
- Tail conditional expectation for multivariate distributions: a game theory approach (Q2435742) (← links)
- Calculation of Bayes premium for conditional elliptical risks (Q2447418) (← links)
- Multivariate skew-normal distributions with applications in insurance (Q2492184) (← links)
- Skewed bivariate models and nonparametric estimation for the CTE risk measure (Q2518541) (← links)
- Multivariate tail conditional expectation for elliptical distributions (Q2520449) (← links)
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses (Q2691431) (← links)
- Optimal capital allocation for individual risk model using a mean-variance principle (Q2691447) (← links)
- On the Impossibility of Fair Risk Allocation (Q4588482) (← links)
- (Q4986849) (← links)
- Pooling Risk Games (Q5012897) (← links)
- Capital Allocation In Insurance (Q5018716) (← links)
- An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets (Q5019715) (← links)
- “Capital Allocation In Insurance: Economic Capital And The Allocation Of The Default Option Value,” By Michael Sherris And John van der Hoek, April 2006 (Q5019719) (← links)
- Estimating the Probability of a Rare Event via Elliptical Copulas (Q5022531) (← links)
- Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation (Q5077233) (← links)
- Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model (Q5087951) (← links)
- A new class of symmetric distributions including the elliptically symmetric logistic (Q5092690) (← links)
- Capital Allocation Using the Bootstrap (Q5168712) (← links)
- First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks (Q5249207) (← links)
- Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing (Q5881112) (← links)