scientific article; zbMATH DE number 1538071
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Publication:4518931
zbMATH Open0958.91019MaRDI QIDQ4518931FDOQ4518931
Authors: L. Overbeck 
Publication date: 8 April 2001
Title of this publication is not available (Why is that?)
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- Weighted risk capital allocations in the presence of systematic risk
- CMPH: a multivariate phase-type aggregate loss distribution
- Risk Management and Capital Allocation for Non-Life Insurance Companies
- A Value-At-Risk Calculation of Required Reserves for Credit Risk in Corporate Lending Portfolios
- Haezendonck-Goovaerts capital allocation rules
- Some remarks on capital allocation by percentile layer
- Justification of per-unit risk capital allocation in portfolio credit risk models
- Excess based allocation of risk capital
- Economic Capital Allocation for Corporate Borrowers Credit Risk Coverage
- Capital Allocation Survey with Commentary
- An optimization approach to the dynamic allocation of economic capital
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- Large-Scale Loan Portfolio Selection
- On the computation of the capital multiplier in the Fortis credit economic capital model
- Multiobjective optimization of credit capital allocation in financial institutions
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- A capital allocation based on a solvency exchange option
- Differentiability of BSVIEs and dynamic capital allocations
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