Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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Cited In (7)

Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
Insurance premium-based shortfall risk measure induced by cumulative prospect theory
Risk measures under model uncertainty: a Bayesian viewpoint
Multivariate Shortfall Risk Allocation and Systemic Risk
Preference Robust Modified Optimized Certainty Equivalent
Preference robust distortion risk measure and its application

Uses Software

SDPT3
YALMIP

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