A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited

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The distribution of the sum of independent gamma random variables
On the convergence properties of the EM algorithm
Coherent measures of risk
Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
Risk capital decomposition for a multivariate dependent gamma portfolio
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ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS
The center of a convex set and capital allocation
Weighted premium calculation principles
Multivariate Tweedie distributions and some related capital-at-risk analyses
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Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
Weighted risk capital allocations
ML estimation for multivariate shock models via an EM algorithm
Properties and comparison of risk capital allocation methods
Weighted risk capital allocations in the presence of systematic risk
Top-down approaches for integrated risk management: how accurate are they?
Risk bounds for factor models
Statistical Inference for a New Class of Multivariate Pareto Distributions
Multivariate mixtures of Erlangs for density estimation under censoring
Forecasting compositional risk allocations
Multiple risk factor dependence structures: distributional properties

Cited In (3)

Multivariate matrix-exponential affine mixtures and their applications in risk theory
Empirical tail conditional allocation and its consistency under minimal assumptions
Holistic principle for risk aggregation and capital allocation

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