Some remarks on capital allocation by percentile layer

DOI10.1007/S13385-013-0075-7zbMATH Open1304.91112OpenAlexW2084071899MaRDI QIDQ487573FDOQ487573

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

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zbMATH Keywords

capital allocationCoVaRalternative CoVaRCoTVaRpercentile layerVaR-dependence

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• The concept of comonotonicity in actuarial science and finance: theory.
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Risk Measures and Comonotonicity: A Review
• Economic Capital Allocation Derived from Risk Measures
• Capital Allocation Survey with Commentary
• An optimization approach to the dynamic allocation of economic capital
• Title not available (Why is that?)

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