Excess based allocation of risk capital
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Publication:2427804
DOI10.1016/j.insmatheco.2011.09.003zbMath1238.91141OpenAlexW3123382209MaRDI 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
Linear programming (90C05) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)
Related Items (9)
Risk capital allocation with autonomous subunits: the Lorenz set ⋮ \( \tau \)-value for risk capital allocation problems ⋮ Preference robust distortion risk measure and its application ⋮ Simple risk measure calculations for sums of positive random variables ⋮ Redistribution of longevity risk: the effect of heterogeneous mortality beliefs ⋮ Properties and comparison of risk capital allocation methods ⋮ A generalization of the Aumann-Shapley value for risk capital allocation problems ⋮ GlueVaR risk measures in capital allocation applications ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
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