Marginal Decomposition of Risk Measures

DOI10.2143/AST.36.2.2017927MaRDI QIDQ3632842zbMATH OpenOpenAlexFDO

Authors G. Venter, John A. Major, Rodney E. Kreps

Publication date 15 June 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.36.2.2017927

Mathematics Subject Classification ID

Recommendations

• Decomposing aggregate risk into marginal risks under partial information: A top-down method
• Risk Measurement with Spectral Capital Allocation
• Risk capital allocation by coherent risk measures based on one-sided moments.
• Properties and comparison of risk capital allocation methods
• To split or not to split: Capital allocation with convex risk measures

Cites work

• Coherent measures of risk
• Derivatives of probability functions and some applications

Cited in

(9)

• Similar risks have similar prices: a useful and exact quantification
• A composition between risk and deviation measures
• Estimation methods for expected shortfall
• Maturity-Independent Risk Measures
• Risk contributions: duality and sensitivity
• Weighted Pricing Functionals With Applications to Insurance
• Decomposing aggregate risk into marginal risks under partial information: A top-down method
• On the decomposition of an insurer's profits and losses
• Profit and loss attribution: an empirical study

This page was built for publication: Marginal Decomposition of Risk Measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3632842)