Risk capital allocation with autonomous subunits: the Lorenz set (Q282289)
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scientific article; zbMATH DE number 6579589
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| English | Risk capital allocation with autonomous subunits: the Lorenz set |
scientific article; zbMATH DE number 6579589 |
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Risk capital allocation with autonomous subunits: the Lorenz set (English)
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12 May 2016
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risk capital
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cost allocation
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Lorenz undominated elements of the core
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coherent risk allocation
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Egalitarian allocation
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0.8262150883674622
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0.794935941696167
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0.7881624698638916
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0.7813610434532166
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0.7796633243560791
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