Pages that link to "Item:Q2427830"
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The following pages link to TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830):
Displaying 18 items.
- On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk (Q303732) (← links)
- Vector-valued tail value-at-risk and capital allocation (Q340111) (← links)
- On two families of bivariate distributions with exponential marginals: aggregation and capital allocation (Q495473) (← links)
- Fitting the Erlang mixture model to data via a GEM-CMM algorithm (Q1643834) (← links)
- CMPH: a multivariate phase-type aggregate loss distribution (Q1648668) (← links)
- Forecasting compositional risk allocations (Q1757613) (← links)
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (Q2364013) (← links)
- On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation (Q2397867) (← links)
- Impact of dependence on some multivariate risk indicators (Q2397956) (← links)
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
- Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (Q2443236) (← links)
- GlueVaR risk measures in capital allocation applications (Q2513627) (← links)
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (Q2665868) (← links)
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants (Q2682987) (← links)
- EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES (Q5045343) (← links)
- MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK (Q5213447) (← links)
- MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION (Q5866183) (← links)
- Risk aggregation with FGM copulas (Q6171947) (← links)
