Some remarks on capital allocation by percentile layer

DOI10.1007/S13385-013-0075-7MaRDI QIDQ487573zbMATH OpenOpenAlexFDO

Authors Liang Hong

Publication date 22 January 2015

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-013-0075-7

zbMATH Keywords

capital allocationCoVaRalternative CoVaRCoTVaRpercentile layerVaR-dependence

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

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• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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• Economic Capital Allocation Derived from Risk Measures
• Risk Measures and Comonotonicity: A Review
• The concept of comonotonicity in actuarial science and finance: theory.

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