Capital Allocation Using the Bootstrap

DOI10.1080/10920277.2011.10597635MaRDI QIDQ5168712zbMATH OpenOpenAlexFDO

Authors Joseph H. T. Kim

Publication date 19 July 2014

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2011.10597635

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

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Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• A capital allocation based on a solvency exchange option
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Applying the Proportional Hazard Premium Calculation Principle
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• Order Statistics
• Quantifying and Correcting the Bias in Estimated Risk Measures
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• Risk Measures and Comonotonicity: A Review
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Risk measures, distortion parameters, and their empirical estimation
• Some results on the CTE-based capital allocation rule
• Stochastic comparisons and dependence among concomitants of order statistics
• Testing hypotheses about the equality of several risk measure values with applications in insurance
• The Exact Bootstrap Mean and Variance of an L-estimator
• The jackknife and bootstrap
• VaR is subject to a significant positive bias
• Wang's capital allocation formula for elliptically contoured distributions.
• Weighted risk capital allocations

Cited in

(2)

• Bootstrap analysis of mutual fund performance
• Bias correction for estimated distortion risk measure using the bootstrap

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