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

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Cites work

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

Cited in

(9)

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

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