An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (Q1742712)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation method for risk aggregations and capital allocation rules based on additive risk factor models |
scientific article |
Statements
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (English)
0 references
12 April 2018
0 references
risk aggregation
0 references
convex lower bound
0 references
capital allocation
0 references
approximation
0 references
generalized gamma distribution
0 references
0 references
0 references
0 references
