GlueVaR risk measures in capital allocation applications
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Publication:2513627
DOI10.1016/J.INSMATHECO.2014.06.014zbMATH Open1304.91092OpenAlexW1971221384MaRDI QIDQ2513627FDOQ2513627
Authors: Jaume Belles-Sampera, Montserrat Guillen, Miguel Santolino 
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2445/118811
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Cited In (19)
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- A new family of aggregation functions for intervals
- Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
- Revisit optimal reinsurance under a new distortion risk measure
- Capital allocation based on Haezendonck-Goovaerts risk measure
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- What attitudes to risk underlie distortion risk measure choices?
- Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
- Haezendonck-Goovaerts capital allocation rules
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- On capital allocation for a risk measure derived from ruin theory
- Multinomial backtesting of distortion risk measures
- Fundamentals of risk measurement and aggregation for insurance applications
- Capital allocation with multivariate convex risk measures
- Optimal reinsurance policy under a new distortion risk measure
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