Forecasting compositional risk allocations
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- scientific article; zbMATH DE number 7644905
Cites work
- scientific article; zbMATH DE number 4128217 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Analyzing compositional data with R
- Asymptotics for risk capital allocations based on conditional tail expectation
- Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
- Capital allocation for portfolios with non-linear risk aggregation
- Compositional data analysis: Where are we and where should we be heading?
- Discriminant analysis for compositional data and robust parameter estimation
- Dynamic capital allocation with distortion risk measures
- Estimating the dimension of a model
- Isometric logratio transformations for compositional data analysis
- Modeling Compositional Time Series with Vector Autoregressive Models
- On the calculation of the solvency capital requirement based on nested simulations
- Optimal capital allocation in a hierarchical corporate structure
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
- To split or not to split: Capital allocation with convex risk measures
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Weighted risk capital allocations
Cited in
(7)- Conjugate processes: theory and application to risk forecasting
- Risk forecasting in the context of time series
- A compositional analysis of systemic risk in European financial institutions
- COMPOSITIONAL TIME SERIES ANALYSIS OF MORTALITY PROPORTIONS
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- An impossibility theorem on capital allocation
- A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
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