Capital allocation based on the tail covariance premium adjusted (Q2513449)
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scientific article; zbMATH DE number 6391702
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Capital allocation based on the tail covariance premium adjusted |
scientific article; zbMATH DE number 6391702 |
Statements
Capital allocation based on the tail covariance premium adjusted (English)
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28 January 2015
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tail covariance premium adjusted
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risk measures
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capital allocation
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dependence
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insurance
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0.8293361067771912
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0.8241737484931946
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0.7857347726821899
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0.7773281335830688
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0.7630193829536438
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