Capital allocation based on Haezendonck-Goovaerts risk measure (Q2992795)
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scientific article; zbMATH DE number 6611544
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| English | Capital allocation based on Haezendonck-Goovaerts risk measure |
scientific article; zbMATH DE number 6611544 |
Statements
10 August 2016
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temporal individual risk model
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capital allocation
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Haezendonck-Goovaerts risk measure
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Young function
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Orlicz quantile
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0.8596324324607849
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0.8203451037406921
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0.7903721928596497
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0.7751144170761108
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0.7714818120002747
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