A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
From MaRDI portal
(Redirected from Publication:3385437)
Recommendations
Cites work
- scientific article; zbMATH DE number 3644314 (Why is no real title available?)
- scientific article; zbMATH DE number 3772748 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 4128217 (Why is no real title available?)
- scientific article; zbMATH DE number 486467 (Why is no real title available?)
- scientific article; zbMATH DE number 2119080 (Why is no real title available?)
- scientific article; zbMATH DE number 805121 (Why is no real title available?)
- Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
- Coherent measures of risk
- Conditional tail expectations for multivariate phase-type distributions
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Dirichlet and Related Distributions
- Forecasting compositional risk allocations
- Handbook of solvency for actuaries and risk managers. Theory and practice.
- ML estimation for multivariate shock models via an EM algorithm
- Modeling dependent risks with multivariate Erlang mixtures
- Multiple risk factor dependence structures: distributional properties
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
- Multivariate mixtures of Erlangs for density estimation under censoring
- Multivariate skew-normal distributions with applications in insurance
- On some properties of a class of multivariate Erlang mixtures with insurance applications
- On the convergence properties of the EM algorithm
- Properties and comparison of risk capital allocation methods
- Risk bounds for factor models
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Risk capital decomposition for a multivariate dependent gamma portfolio
- Simple risk measure calculations for sums of positive random variables
- Some results on the CTE-based capital allocation rule
- Statistical inference for a new class of multivariate Pareto distributions
- Structural properties of the generalized Dirichlet distributions
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
- The center of a convex set and capital allocation
- The distribution of the sum of independent gamma random variables
- Top-down approaches for integrated risk management: how accurate are they?
- Weighted premium calculation principles
- Weighted risk capital allocations
- Weighted risk capital allocations in the presence of systematic risk
Cited in
(6)- Compositional risk capital allocations
- Axiomatic risk sharing and capital allocation
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- Empirical tail conditional allocation and its consistency under minimal assumptions
- Decomposing aggregate risk into marginal risks under partial information: A top-down method
- Holistic principle for risk aggregation and capital allocation
This page was built for publication: A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3385437)
