Pages that link to "Item:Q817298"

The following pages link to Risk capital decomposition for a multivariate dependent gamma portfolio (Q817298):

Displaying 40 items.

• Density and distribution evaluation for convolution of independent gamma variables (Q120486) (← links)
• 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)
• Asymptotics for risk capital allocations based on conditional tail expectation (Q654806) (← links)
• TVaR-based capital allocation with copulas (Q659153) (← links)
• Multivariate Tweedie distributions and some related capital-at-risk analyses (Q659235) (← links)
• On the tail mean-variance optimal portfolio selection (Q659265) (← links)
• A monotonicity property of the composition of regularized and inverted-regularized gamma functions with applications (Q950486) (← links)
• On a multivariate gamma distribution (Q951178) (← links)
• Weighted risk capital allocations (Q974815) (← links)
• Some results on the CTE-based capital allocation rule (Q998305) (← links)
• Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions (Q1690076) (← links)
• An asymptotic characterization of hidden tail credit risk with actuarial applications (Q1707554) (← links)
• An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (Q1742712) (← links)
• Optimal capital allocation based on the tail mean-variance model (Q2015620) (← links)
• Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses (Q2157416) (← links)
• Multivariate matrix-exponential affine mixtures and their applications in risk theory (Q2172057) (← links)
• On log-normal convolutions: an analytical-numerical method with applications to economic capital determination (Q2292186) (← links)
• Weighted allocations, their concomitant-based estimators, and asymptotics (Q2317882) (← links)
• Tail conditional moments for elliptical and log-elliptical distributions (Q2374109) (← links)
• Multiple risk factor dependence structures: copulas and related properties (Q2397858) (← links)
• Multiple risk factor dependence structures: distributional properties (Q2404540) (← links)
• Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830) (← links)
• Tail conditional expectation for multivariate distributions: a game theory approach (Q2435742) (← links)
• A characterization of optimal portfolios under the tail mean-variance criterion (Q2442517) (← links)
• Skewed bivariate models and nonparametric estimation for the CTE risk measure (Q2518541) (← links)
• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995) (← links)
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation (Q2665868) (← links)
• Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109) (← links)
• Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113) (← links)
• Optimal capital allocation for individual risk model using a mean-variance principle (Q2691447) (← links)
• Estimation methods for expected shortfall (Q2879025) (← links)
• Conditional Tail Moments of the Exponential Family and Its Related Distributions (Q3088974) (← links)
• Biometric Solvency Risk for Portfolios of General Life Contracts. I. The Single-Life Multiple Decrement Case (Q3088981) (← links)
• A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited (Q3385437) (← links)
• Tail conditional risk measures for location-scale mixture of elliptical distributions (Q3390364) (← links)
• SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES (Q4972118) (← links)
• EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES (Q5045343) (← links)
• LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING (Q5140090) (← links)