Excess based allocation of risk capital
From MaRDI portal
Publication:2427804
DOI10.1016/j.insmatheco.2011.09.003zbMath1238.91141MaRDI QIDQ2427804
Henk Norde, Anja De Waegenaere, Gerwald van Gulick
Publication date: 18 April 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://research.tilburguniversity.edu/en/publications/f9231521-fea7-4524-8fea-83ece004ab49
90C05: Linear programming
91G50: Corporate finance (dividends, real options, etc.)
91G10: Portfolio theory
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