Pages that link to "Item:Q998305"

The following pages link to Some results on the CTE-based capital allocation rule (Q998305):

Displaying 39 items.

• On the distribution of a sum of Sarmanov distributed random variables (Q270203) (← links)
• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation (Q495473) (← links)
• Asymptotics for risk capital allocations based on conditional tail expectation (Q654806) (← links)
• Correlation order, merging and diversification (Q659149) (← links)
• TVaR-based capital allocation with copulas (Q659153) (← links)
• Multivariate Tweedie distributions and some related capital-at-risk analyses (Q659235) (← links)
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations (Q950092) (← links)
• Weighted risk capital allocations (Q974815) (← links)
• Bounds and approximations for sums of dependent log-elliptical random variables (Q1023100) (← links)
• CMPH: a multivariate phase-type aggregate loss distribution (Q1648668) (← links)
• Weighted risk capital allocations in the presence of systematic risk (Q1742709) (← links)
• An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (Q1742712) (← links)
• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation (Q2106746) (← links)
• On a family of coherent measures of variability (Q2212171) (← links)
• On log-normal convolutions: an analytical-numerical method with applications to economic capital determination (Q2292186) (← links)
• Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (Q2364013) (← links)
• Tail conditional moments for elliptical and log-elliptical distributions (Q2374109) (← links)
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
• Excess based allocation of risk capital (Q2427804) (← links)
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830) (← links)
• Tail variance premiums for log-elliptical distributions (Q2443222) (← links)
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (Q2443236) (← links)
• Skewed bivariate models and nonparametric estimation for the CTE risk measure (Q2518541) (← links)
• Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences (Q2656111) (← links)
• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995) (← links)
• Asymptotic results on marginal expected shortfalls for dependent risks (Q2670113) (← links)
• On beta-product convolutions (Q2868597) (← links)
• Elliptical families and copulas: tilting and premium; capital allocation (Q3077728) (← links)
• A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited (Q3385437) (← links)
• Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence (Q4559325) (← links)
• ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (Q4563733) (← links)
• Weighted Pricing Functionals With Applications to Insurance (Q5029087) (← links)
• EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES (Q5045343) (← links)
• AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS (Q5050856) (← links)
• Capital Allocation Using the Bootstrap (Q5168712) (← links)
• Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) (Q5742637) (← links)
• MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION (Q5866183) (← links)
• Asymptotic results on tail moment and tail central moment for dependent risks (Q6198065) (← links)
• Tail variance allocation, Shapley value, and the majorization problem (Q6198966) (← links)