Weighted risk capital allocations in the presence of systematic risk
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Publication:1742709
DOI10.1016/J.INSMATHECO.2017.12.010zbMATH Open1401.91139OpenAlexW2776841054MaRDI QIDQ1742709FDOQ1742709
Authors: Edward Furman, Alexey Kuznetsov, Ričardas Zitikis 
Publication date: 12 April 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.12.010
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Cited In (14)
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Large-loss behavior of conditional mean risk sharing
- Asymptotics of multivariate conditional risk measures for Gaussian risks
- Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
- Statistical detection and classification of background risks affecting inputs and outputs
- From risk sharing to pure premium for a large number of heterogeneous losses
- Peer-to-peer risk sharing with an application to flood risk pooling
- Weighted risk capital allocations
- Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
- A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- Risk management with weighted VaR
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