Pages that link to "Item:Q3608226"
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The following pages link to Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (Q3608226):
Displayed 33 items.
- On two families of bivariate distributions with exponential marginals: aggregation and capital allocation (Q495473) (← links)
- On some layer-based risk measures with applications to exponential dispersion models (Q609700) (← links)
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach (Q631479) (← links)
- Asymptotics for risk capital allocations based on conditional tail expectation (Q654806) (← links)
- TVaR-based capital allocation with copulas (Q659153) (← links)
- On a multivariate Pareto distribution (Q659227) (← links)
- Multivariate Tweedie distributions and some related capital-at-risk analyses (Q659235) (← links)
- On the tail mean-variance optimal portfolio selection (Q659265) (← links)
- Weighted risk capital allocations (Q974815) (← links)
- Some results on the CTE-based capital allocation rule (Q998305) (← links)
- A bivariate distribution with Lomax and geometric margins (Q1622113) (← links)
- The joint distribution of the sum and maximum of dependent Pareto risks (Q1661338) (← links)
- Optimal capital allocation based on the tail mean-variance model (Q2015620) (← links)
- Conditional excess risk measures and multivariate regular variation (Q2291755) (← links)
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (Q2364013) (← links)
- Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830) (← links)
- A characterization of optimal portfolios under the tail mean-variance criterion (Q2442517) (← links)
- Estimation of the parameters of a Markov-modulated loss process in insurance (Q2513596) (← links)
- Skewed bivariate models and nonparametric estimation for the CTE risk measure (Q2518541) (← links)
- On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays (Q2520463) (← links)
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995) (← links)
- Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109) (← links)
- ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (Q4563733) (← links)
- A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics (Q4577205) (← links)
- Lifetime dependence models generated by multiply monotone functions (Q4583623) (← links)
- Weighted Pricing Functionals With Applications to Insurance (Q5029087) (← links)
- Generalized Marcinkiewicz Laws for Weighted Dependent Random Vectors in Hilbert Spaces (Q5046634) (← links)
- AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS (Q5050856) (← links)
- The Tail Stein's Identity with Applications to Risk Measures (Q5379195) (← links)
- Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach (Q5742901) (← links)
- Influence of environmental factors on stress-strength systems with replaceable components (Q6164723) (← links)