Dynamic capital allocation with distortion risk measures
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Recommendations
- On capital allocation for a risk measure derived from ruin theory
- Risk capital allocation and cooperative pricing of insurance liabilities.
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- Capital allocation for portfolios with non-linear risk aggregation
- Risk capital allocation by coherent risk measures based on one-sided moments.
Cites work
- Axiomatic characterization of insurance prices
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- Coherent measures of risk
- Comonotonicity, correlation order and premium principles
- Conditional expectation for monotone measures, the discrete case
- Conditioning (updating) non-additive measures
- Cooperative Fuzzy Games
- Families of update rules for non-additive measures: applications in pricing risks.
- scientific article; zbMATH DE number 48344 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- Non-additive measure and integral
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Risk Exchange with Distorted Probabilities
- Risk-adjusted credibility premiums using distorted probabilities
- Subjective Probability and Expected Utility without Additivity
- The Dual Theory of Choice under Risk
- Theory of capacities
- Values of Non-Atomic Games
Cited in
(46)- Risk capital allocation and cooperative pricing of insurance liabilities.
- Variance allocation and Shapley value
- Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018)
- Dynamic asset allocation with event risk, transaction costs and predictable returns
- Distortion risk measures, ROC curves, and distortion divergence
- Dynamic investment and counterparty risk
- Dynamic capital allocation with irreversible investments
- Distortion measures and homogeneous financial derivatives
- Stochastic distortion and its transformed copula
- Forecasting compositional risk allocations
- Risk parity with expectiles
- On capital allocation for a risk measure derived from ruin theory
- Tail distortion risk measure for portfolio with multivariate regularly variation
- Similar risks have similar prices: a useful and exact quantification
- A generalization of the Aumann-Shapley value for risk capital allocation problems
- Concave distortion risk minimizing reinsurance design under adverse selection
- Excess based allocation of risk capital
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
- Capital allocation with multivariate convex risk measures
- Tight approximations of dynamic risk measures
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- Competitive equilibria with distortion risk measures
- Pooling risk games
- Weighted Pricing Functionals With Applications to Insurance
- Capital allocation for portfolios with non-linear risk aggregation
- Asymptotic analysis of tail distortion risk measure under the framework of multivariate regular variation
- Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
- Capital allocation with multivariate risk measures: an axiomatic approach
- Equilibrium pricing of general insurance policies
- Representation of concave distortions and applications
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
- First- and second-order asymptotics for the tail distortion risk measure of extreme risks
- Dynamic investment strategies with demand-side and cost-side risks
- A family of variability measures based on the cumulative residual entropy and distortion functions
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Random distortion risk measures
- Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
- Estimation of generalized tail distortion risk measures with applications in reinsurance
- Background risk model in presence of heavy tails under dependence
- Dynamic capital allocation with reallocation cost
- An optimization approach to the dynamic allocation of economic capital
- Quantile-based risk contribution measures for risk portfolios with positive dependence
- Stable allocations of risk
- Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Risk measurement in the presence of background risk
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