Wang's capital allocation formula for elliptically contoured distributions.
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Publication:1423336
DOI10.1016/j.insmatheco.2003.07.003zbMath1103.91375OpenAlexW2102500906MaRDI QIDQ1423336
Emiliano A. Valdez, Andrew Chernih
Publication date: 14 February 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.07.003
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Cites Work
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- Coherent Measures of Risk
- Semi-parametric modelling in finance: theoretical foundations
- Economic Capital Allocation Derived from Risk Measures
- Tail Conditional Expectations for Elliptical Distributions
- Utility Functions
